Default Estimation for Low-Default Portfolios

29 Pages Posted: 19 Nov 2006

See all articles by Nicholas M. Kiefer

Nicholas M. Kiefer

Cornell University - Department of Economics

Date Written: August 2006

Abstract

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

Kiefer, Nicholas M., Default Estimation for Low-Default Portfolios (August 2006). Available at SSRN: https://ssrn.com/abstract=945140 or http://dx.doi.org/10.2139/ssrn.945140

Nicholas M. Kiefer (Contact Author)

Cornell University - Department of Economics ( email )

490 Uris Hall
Ithaca, NY 14853-7601
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
220
Abstract Views
1,357
rank
153,461
PlumX Metrics