منابع مشابه
Estimating Probabilities of Default
We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods—cohort and duration (intensity)—using twenty-two years of credit ratings data. We find that the bootstrapped intervals for the d...
متن کاملEstimating probabilities of default with support vector machines
This paper proposes a rating methodology that is based on a non-linear classification method, the support vector machine, and a non-parametric technique for mapping rating scores into probabilities of default. We give an introduction to underlying statistical models and represent the results of testing our approach on Deutsche Bundesbank data. In particular we discuss the selection of variables...
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...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.569841