Default probability estimation in small samples - with an application to sovereign bonds
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References listed on IDEAS
- Kiefer, Nicholas M., 2009. "Default estimation for low-default portfolios," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 164-173, January.
- Hanson, Samuel & Schuermann, Til, 2006. "Confidence intervals for probabilities of default," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2281-2301, August.
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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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-09 (All new papers)
- NEP-ECM-2011-10-09 (Econometrics)
- NEP-RMG-2011-10-09 (Risk Management)
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