Default Estimation for Low-Default Portfolios
29 Pages Posted: 19 Nov 2006
Date Written: August 2006
The problem in default probability estimation for low-default portfolios is that there is little relevant historical data information. No amount of data processing can fix this problem. More information is required. Incorporating expert opinion formally is an attractive option.
Keywords: Bayesian inference, Bayesian estimation, expert information, Basel II, risk management
JEL Classification: C11, C13, C44, G18, G32
Suggested Citation: Suggested Citation