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Estimating the Probability of Default with Applications in Provisioning the Portfolio of Clients of a Credit Institution

Author

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  • Dragoş Bolocan

    ()

  • Cristian Litan

    ()

Abstract

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Suggested Citation

  • Dragoş Bolocan & Cristian Litan, 2011. "Estimating the Probability of Default with Applications in Provisioning the Portfolio of Clients of a Credit Institution," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 18(2), pages 271-285, December.
  • Handle: RePEc:spr:trstrv:v:18:y:2011:i:2:p:271-285
    DOI: 10.1007/s11300-011-0209-z
    as

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    References listed on IDEAS

    as
    1. Jürg M. Blum, 2007. "Why 'Basel II' May Need a Leverage Ratio Restriction," Working Papers 2007-04, Swiss National Bank.
    2. Medema, Lydian & Koning, Ruud H. & Lensink, Robert, 2009. "A practical approach to validating a PD model," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 701-708, April.
    3. Carling, Kenneth & Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2007. "Corporate credit risk modeling and the macroeconomy," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 845-868, March.
    4. Dwyer, Douglas W. & Stein, Roger M., 2006. "Inferring the default rate in a population by comparing two incomplete default databases," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 797-810, March.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Credit risk; Probability of default; Provisioning a credit portfolio of a bank; G21; C58;

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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