Bayesian estimation of probabilities of default for low default portfolios
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- Dirk Tasche, 2011. "Bayesian estimation of probabilities of default for low default portfolios," Papers 1112.5550, arXiv.org, revised Aug 2013.
References listed on IDEAS
- Dirk Tasche, 2009. "Estimating discriminatory power and PD curves when the number of defaults is small," Papers 0905.3928, arXiv.org, revised Mar 2010.
- Kiefer, Nicholas M., 2009.
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- Orth, Walter, 2011. "Default probability estimation in small samples: With an application to sovereign bonds," Discussion Papers in Econometrics and Statistics 5/11, University of Cologne, Institute of Econometrics and Statistics.
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- Dirk Tasche, 2002. "Expected Shortfall and Beyond," Papers cond-mat/0203558, arXiv.org, revised Oct 2002.
- Katja Pluto & Dirk Tasche, 2006.
"Estimating Probabilities of Default for Low Default Portfolios,"
Springer Books, in: Bernd Engelmann & Robert Rauhmeier (ed.), The Basel II Risk Parameters, chapter 0, pages 79-103,
Springer.
- Katja Pluto & Dirk Tasche, 2004. "Estimating Probabilities of Default for Low Default Portfolios," Papers cond-mat/0411699, arXiv.org, revised Apr 2005.
- Bernd Engelmann & Robert Rauhmeier (ed.), 2006. "The Basel II Risk Parameters," Springer Books, Springer, number 978-3-540-33087-5, April.
- Orth, Walter, 2011. "Default probability estimation in small samples - with an application to sovereign bonds," MPRA Paper 33778, University Library of Munich, Germany.
- Bernd Engelmann & Robert Rauhmeier (ed.), 2011. "The Basel II Risk Parameters," Springer Books, Springer, number 978-3-642-16114-8, April.
- Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July.
- Alexander Shapiro & Jos Berge, 2002. "Statistical inference of minimum rank factor analysis," Psychometrika, Springer;The Psychometric Society, vol. 67(1), pages 79-94, March.
- Kiefer, Nicholas M., 2010. "Default Estimation and Expert Information," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 320-328.
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Cited by:
- Oliver Blümke, 2020. "Estimating the probability of default for no‐default and low‐default portfolios," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 69(1), pages 89-107, January.
- Oliver Blümke, 2022. "Multiperiod default probability forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 677-696, July.
- Yi-Ping Chang & Chih-Tun Yu, 2014. "Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk," Computational Statistics, Springer, vol. 29(1), pages 331-361, February.
- Denis Surzhko, 2017. "Bayesian Approach to PD Calibration and Stress-testing in Low Default Portfolios," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(2), pages 1-6.
- Andrius Grigutis, 2023. "Probabilistic Overview of Probabilities of Default for Low Default Portfolios by K. Pluto and D. Tasche," Papers 2303.06148, arXiv.org.
- Blümke, Oliver, 2018. "On the cyclicality of default rates of banks: A comparative study of the asset correlation and diversification effects," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 65-77.
- Nendel, Max & Streicher, Jan, 2023. "An axiomatic approach to default risk and model uncertainty in rating systems," Journal of Mathematical Economics, Elsevier, vol. 109(C).
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More about this item
Keywords
low default portfolio; probability of default; upper confidence bound; Bayesian estimator;All these keywords.
JEL classification:
- G2 - Financial Economics - - Financial Institutions and Services
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
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