Estimating probabilities of default

We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods

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Year of publication:	2004
Authors:	Schuermann, Til ; Hanson, Samuel Gregory
Publisher:	New York, NY : Federal Reserve Bank of New York
Subject:	Insolvenz \| Kreditwürdigkeit \| Schätztheorie \| cohort and duration (intensity)

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Series:	Staff Report ; 190
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	477453759 [GVK] hdl:10419/60699 [Handle]
Classification:	G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation ; C16 - Specific Distributions
Source:	EconStor

Persistent link: https://www.econbiz.de/10010283470