Schuermann, Til (contributor); Hanson, Samuel G. (contributor) - 2004 - [Elektronische Ressource]
"We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using … different PD estimation methods--cohort and duration (intensity)--using twenty-two years of credit ratings data. We find that … barrier is crossed, we are able to distinguish quite cleanly notch-level estimated default probabilities. Conditioning on the …