Inferring the default rate in a population by comparing two incomplete default databases

Journal of Banking and Finance

Volumn 30, Issue 3, 2006, Pages 797-810

  Dwyer, Douglas W ^a   Stein, Roger M ^b  

^a Moody's KMV   (United States)

^b MOODY'S INVESTORS SERVICE   (United States)

Author keywords

Bankruptcy modeling; Capture recapture; Credit modeling; Database merging; Model validation and calibration

Indexed keywords

EID: 33644794335     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.11.001     Document Type: Article

References (14)

1. American Bar Association Central and East European Law Initiative, 2000. Political Killings in Kosova/Kosovo March-June 1999, Washington, DC.
2. Bank for International Settlements, 2004. International Convergence of Capital Measurement and Capital Standards (A Revised Framework).
3. D.L. Borchers S.T. Buckland W. Zucchini Estimating Animal Abundance: Closed Populations 2002 Springer London
4. F.X. Diebold T.A. Gunther A.S. Tay Evaluating density forecasts with applications to financial risk management International Economic Review 39 4 1998 863-883
5. D. Duffie K.J. Singleton Credit risk: Pricing, Measurement, and Management Princeton Series in Finance 2003 Princeton University Press Princeton, NJ
6. D. Dwyer R.M. Stein Moody's KMV RiskCalc™ v3.1 Technical Document 2005 Moody's KMV New York
7. D. Hamilton Default and Recovery Rates of Corporate Bond Issuers: A Statistical Review of Moody's Ratings Performance 1970-2001 2002 Moody's Investors Service New York
8. D. Hamilton Default and Recovery Rates of Corporate Bond Issuers: A Statistical Review of Moody's Ratings Performance 1970-2004 2005 Moody's Investors Service New York
9. D. Lando Credit Risk Modeling: Theory and Applications Princeton Series in Finance 2004 Princeton University Press Princeton
10. D.J. Lucas Default correlation and credit analysis Journal of Fixed Income March 1995 76-87
11. A. Mammo Estimating the Extent of Illicit Drug Abuse in New Jersey Using Capture-Recapture Analysis 1998 New Jersey Department of Health and Senior Services Rockville, Maryland
12. L. Rivest T. Levesque Improved log-linear model of estimators of abundance in capture-recapture experiments The Canadian Journal of Statistics 29 2001 555-572
13. C.C. Sekar W.E. Deming On a method of estimating birth and death rates and the extent of registration American Statistical Association Journal 44 1949 101-115
14. R.M. Stein Benchmarking Default Prediction Models: Pitfalls and Remedies in Model Validation 2002 Moody's KMV New York