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
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.
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Journal Article: Estimation of default probabilities using incomplete contracts data (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:wc2000:1121
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