Purpose – Investors often rely on probabilistic models that were learned from small historical labeled datasets. The purpose of this article is to propose a new method for data-efficient model learning. Design/methodology/approach – The proposed method, which is an extension of the standard...

We model the conditional probability distribution of trading prices of defaulted large-US-corporate debt given the time since default, the position of the debt on the balance sheet, collateral quality, and economy and industry-wide default rates. The model is based on a maximum expected utility...