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Confidence intervals for probabilities of default

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Author Info
Hanson, Samuel
Schuermann, Til

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VCY-4HPKBVX-1/2/0a00f336d6cdc627640b1d8eae51a96f
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 30 (2006)
Issue (Month): 8 (August)
Pages: 2281-2301
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Handle: RePEc:eee:jbfina:v:30:y:2006:i:8:p:2281-2301

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  1. Janet Mitchell & Patrick Van Roy, 2007. "Failure prediction models : performance, disagreements, and internal rating systems," Research series 200712-18, National Bank of Belgium. [Downloadable!]
  2. Güttler, André & Raupach, Peter, 2008. "The impact of downward rating momentum on credit portfolio risk," Discussion Paper Series 2: Banking and Financial Studies 2008,16, Deutsche Bundesbank, Research Centre. [Downloadable!]
  3. Adam B. Ashcraft & Til Schuermann, 2008. "Understanding the securitization of subprime mortgage credit," Staff Reports 318, Federal Reserve Bank of New York. [Downloadable!]
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This page was last updated on 2008-10-4.

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