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 materialElectronic resourceUnmediatedVolume
- Language
- English
- 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>.