Default probability estimation in small samples - with an application to sovereign bonds
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References listed on IDEAS
- Fuertes, Ana-Maria & Kalotychou, Elena, 2007.
"On sovereign credit migration: A study of alternative estimators and rating dynamics,"
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More about this item
KeywordsLow-default portfolios; empirical Bayes; sovereign default risk; Basel II;
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
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