Default estimation for low-default portfolios
Risk managers at financial institutions are concerned with estimating default probabilities for asset groups both for internal risk control procedures and for regulatory compliance. Low-default assets pose an estimation problem that has attracted recent concern. The problem in default probability estimation for low-default portfolios is that there is little relevant historical data information. No amount of data data-processing can fix this problem. More information is required. Incorporating expert opinion formally is an attractive option. The probability (Bayesian) approach is proposed, its feasibility demonstrated, and its relation to supervisory requirements discussed.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Stefan Weber & Kay Giesecke, 2003. "Credit Contagion and Aggregate Losses," Computing in Economics and Finance 2003 246, Society for Computational Economics.
- Garthwaite, Paul H. & Kadane, Joseph B. & O'Hagan, Anthony, 2005. "Statistical Methods for Eliciting Probability Distributions," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 680-701, June.
- Giesecke, Kay & Weber, Stefan, 2004. "Cyclical correlations, credit contagion, and portfolio losses," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 3009-3036, December.
When requesting a correction, please mention this item's handle: RePEc:eee:empfin:v:16:y:2009:i:1:p:164-173. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.