For a sample X1,X2,…XNof independent identically distributed copies of a log-logistically distributed random variable X the maximum likelihood estimation is analysed in detail if a left-truncation point xL0is introduced. Due to scaling properties it is sufficient to investigate the case xL=1....

This paper demonstrates how the observed correlation between probability of default and loss given default depends on the fact that defaults in which collateral provides 100% recovery are not observed. Creditors see only the defaults of mortgagors who suffer from a fall in collateral value to...

The stochastic frontier model was first proposed in the context of production function estimation to account for the effect of technical inefficiency. The inefficiency causes actual output to fall below the potential level (that is, the production frontier) and also raises production cost above...