how many periods should be available for assessing credit risk taking account of estimation uncertainty if bootstrapping … available for similar results. -- confidence region ; credit portfolio risk ; estimation uncertainty ; bootstrapping …For credit risk assessment, probability of default and correlation have to be estimated simultaneously. However, these …

which include estimation uncertainty but ignore default correlation might estimate the real credit risk more correctly than … the underlying probability distributions of these intervals. -- probability of default ; estimation uncertainty ; risk …The use of probability of default estimates to assess the risks of a credit portfolio should not ignore estimation …

how many periods should be available for assessing credit risk taking account of estimation uncertainty if bootstrapping …For credit risk assessment, probability of default and correlation have to be estimated simultaneously. However, these … region for a short credit history is bootstrapping. Hence, it could be more appropriate to assess estimation uncertainty with …

which include estimation uncertainty but ignore default correlation might estimate the real credit risk more correctly than …The use of probability of default estimates to assess the risks of a credit portfolio should not ignore estimation … a model that implicates default correlation but ignore estimation uncertainty. The latter is a trait of conventional …

Several attempts have been made to reduce the impact of estimation errors on the optimal portfolio composition. On the … context we consider different estimation periods as well as unconstrained and constrained portfolio optimization problems. The …. Furthermore, the estimation strategy of Frost/Savarino (1988) proves to work excellent in all analyzed situations. …

difference between the monthly returns of the index compared to the ETFs. Both strategies have counterparty risk. The full … defaults. -- ETF ; Exchange Traded Funds ; Full Replication ; Swap Replication ; ETF Performance ; ETF Risk …