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My bibliography Save this paperEstimation of Probabilities for Ordered Sets and Application to Calibration of Rating Models
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- 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.
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Keywords
Bayesian estimation; probability estimation; uninformative prior; rating calibration; low default; ordered sets; jeffreys prior.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DCM-2023-04-10 (Discrete Choice Models)
- NEP-ECM-2023-04-10 (Econometrics)
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