Default Estimation for Low-Default Portfolios

Nicholas Kiefer ()

Working Papers from Cornell University, Center for Analytic Economics

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.

JEL-codes: C11 C13 C44 G18 G32 (search for similar items in EconPapers)
Date: 2006-08
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https://cae.economics.cornell.edu/06-08.pdf

Related works:
Journal Article: Default estimation for low-default portfolios (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ecl:corcae:06-08

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