This paper proposes a methodology for default probability estimation for low default portfolios, where the statistical inference may become troublesome. The author suggests using logistic regression models with the Bayesian estimation of parameters. The piecewise logistic regression model and...

This research deals with some statistical modeling problems that are motivated by credit risk analysis. Credit risk modeling has been the subject of considerable research interest in finance and has recently drawn the attention of statistical researchers. In the first chapter, we provide an...