The probability approach to default probabilities

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Created Date
[2007]
Description

"March 2007"--Cover

"JEL classifications: C11, C13, C44, G18, G32."

Includes bibliographical references (p. 13-14)

"The probability approach to uncertainty and modeling is applied to default probability estimation. Default estimation for low-default portfolios has attracted attention as banks contemplate the requirements of Basel II's IRB rules. Nicholas M. Kiefer proposes the formal introduction of expert information into quantitative analysis. An application treating the incorporation of expert information on the default probability is considered in detail"--Abstract

Creator

Kiefer, Nicholas M., 1951

Partner
HathiTrust
Contributing Institution
University of California
Publisher
Washington, DC : Office of the Comptroller of the Currency
Subjects
Probabilities
Risk management
Bayesian statistical decision theory
Default (Finance)--Econometric models
Type
text
Format
Language material
Electronic resource
Unmediated
Volume
Language
English
URL
http://catalog.hathitrust.org/Record/102157453
Rights
Public domain. Learn more at http://www.hathitrust.org/access_use
Chicago citation style
Kiefer, Nicholas M., 1951. The probability approach to default probabilities. [2007]. Retrieved from the Digital Public Library of America, http://catalog.hathitrust.org/Record/102157453. (Accessed April 18, 2024.)
APA citation style
Kiefer, Nicholas M., 1951, ([2007]) The probability approach to default probabilities. Retrieved from the Digital Public Library of America, http://catalog.hathitrust.org/Record/102157453
MLA citation style
Kiefer, Nicholas M., 1951. Retrieved from the Digital Public Library of America <http://catalog.hathitrust.org/Record/102157453>.
Note: These citations are programmatically generated and may be incomplete.