Estimating Probabilities of Default for Low Default Portfolios
نویسندگان
چکیده
منابع مشابه
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 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 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 کاملEstimating 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...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.635301