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Confidence intervals for probabilities of default

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  • Hanson, Samuel
  • Schuermann, Til

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File URL: http://www.sciencedirect.com/science/article/B6VCY-4HPKBVX-1/2/0a00f336d6cdc627640b1d8eae51a96f
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Bibliographic Info

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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Web page: http://www.elsevier.com/locate/jbf

For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeroen Loos).

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Cited by:
  1. Orth, Walter, 2011. "Multi-period credit default prediction with time-varying covariates," MPRA Paper 30507, University Library of Munich, Germany, revised 22 Nov 2011.
  2. Henry Dannenberg, 2011. "The Importance of Estimation Uncertainty in a Multi-Rating Class Loan Portfolio," IWH Discussion Papers 11, Halle Institute for Economic Research.
  3. Janet Mitchell & Patrick Van Roy, 2007. "Failure prediction models : performance, disagreements, and internal rating systems," Working Paper Research 123, National Bank of Belgium.
  4. Andre Güttler & Peter Raupach, 2010. "The Impact of Downward Rating Momentum," Journal of Financial Services Research, Springer, vol. 37(1), pages 1-23, February.
  5. Orth, Walter, 2011. "Default probability estimation in small samples - with an application to sovereign bonds," MPRA Paper 33778, University Library of Munich, Germany.
  6. Henry Dannenberg, 2009. "Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung: Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und einem asymptotischen A," IWH Discussion Papers 3, Halle Institute for Economic Research.
  7. 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.
  8. Adam B. Ashcraft & Til Schuermann, 2008. "Understanding the securitization of subprime mortgage credit," Staff Reports 318, Federal Reserve Bank of New York.

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