The estimation of probabilities of default (PDs) for low default portfolios by means of upper confidence bounds is a well established procedure in many financial institutions. However, there are often discussions within the institutions or between institutions and supervisors about which...

The study builds on previous research that decomposes rating category default probability term structures from rating category interest rate term structures, and proposes a method to decompose rating migration matrices from market data, via decomposed default probability term structures. To...

In this paper we propose a statistically derived measure as an alternative to the simple average PD to provide more accurate risk assessment at portfolio level. The theoretical analysis is followed by a numerical example in sections 3 and 4. We then assess the accuracy and representativeness...