CUTTING EDGE: Credit portfolio risk - The probability approach to default probabilities - Default estimation for low-default portfolios has attracted attention as banks contemplate the requirements of Basel II's internal ratings-based rules. Here, the author applies the probability approach to uncertainty and modelling to default probability estimation, and proposes a formal introduction of expert ...
| Year of publication: |
2007
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| Authors: | Kiefer, Nicholas |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 20.2007, 7, p. 146-151
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