Chang, Yi-Ping; Yu, Chih-Tun - In: Computational Statistics 29 (2014) 1, pp. 331-361
We derive Bayesian confidence intervals for the probability of default (PD), asset correlation (Rho), and serial dependence (Theta) for low default portfolios (LDPs). The goal is to reduce the probability of underestimating credit risk in LDPs. We adopt a generalized method of moments with...