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Estimation of Default Probabilities Using Incomplete Contracts Data

J. M. R. Murteira and João Santos Silva ()
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J. M. R. Murteira: Universidade de Coimbra

No 1121, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: This paper develops a count data model for credit scoring which allows the estimation of default probabilities using incomplete contracts data. The model is based on the beta-binomial distribution, which is found to be particularly adequate to describe this sort of data. A well known data set on personal loans granted by a Spanish bank is used to illustrate the application of the proposed model.

Date: 2000-08-01
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Journal Article: Estimation of default probabilities using incomplete contracts data (2009) Downloads
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