We introduce the family of univariate double two–piece distributions, obtained by using a density– based transformation of unimodal symmetric continuous distributions with a shape parameter. The resulting distributions contain five interpretable parameters that control the mode, as well as...

A Bayesian approach to default rate estimation is proposed and illustrated using a prior distribution assessed from an experienced industry expert. The principle advantage of the Bayesian approach is the potential for coherent incorporation of expert information - crucial when data are scarce or...