Default Estimation for Low-Default Portfolios

The problem in default probability estimation for low-default portfolios is that there is little relevant historical data information. No amount of data processing can fix this problem. More information is required. Incorporating expert opinion formally is an attractive option.

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Year of publication:	2006-08
Authors:	Kiefer, Nicholas M.
Institutions:	Center for Analytic Economics, Department of Economics

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Classification:	C11 - Bayesian Analysis ; C13 - Estimation ; C44 - Statistical Decision Theory; Operations Research ; G18 - Government Policy and Regulation ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005819136