Bayesian Estimation of Probabilities of Default for Low Default Portfolios
نویسندگان
چکیده
منابع مشابه
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 x this problem. More information is required. Incorporating expert opinion formally is an attractive option.
متن کامل2 00 4 Estimating Probabilities of Default for Low Default Portfolios
For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of the credit-worthiness of borrowers are indispensable. These assessments are expressed in terms of probabilities of default (PD) that should incorporate a certain degree of conservatism in order to reflect the prudential risk management style banks ...
متن کامل2 00 5 Estimating Probabilities of Default for Low Default Portfolios
For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of the credit-worthiness of borrowers are indispensable. These assessments are expressed in terms of probabilities of default (PD) that should incorporate a certain degree of conservatism in order to reflect the prudential risk management style banks ...
متن کاملN ov 2 00 4 Estimating Probabilities of Default for Low Default Portfolios
For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of creditworthiness are indispensable. These assessments are expressed in terms of probabilities of default (PD) that should incorporate a certain degree of conservatism in order to reflect the prudential risk management style banks are required to ap...
متن کاملDefault probabilities and default correlations under stress
We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. The analysis is performed in the class of elliptical distributions, a family of light-tailed to heavy-tailed distributions encompassing many distributions commonly found in financial modelling. It turns out that the asymptotic limit of...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2048818