Default estimation for low-default portfolios

Journal of Empirical Finance

Volumn 16, Issue 1, 2009, Pages 164-173

  Kiefer, Nicholas M ^a  

^a Department of Obstetrics Gynecology   (United States)

Author keywords

Basel II; Bayesian estimation; Bayesian inference; Expert information; Risk management

Indexed keywords

EID: 57749105617     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2008.03.004     Document Type: Article

References (22)

1. Balthazar L. Pd estimates for basel ii. Risk (2004) 84-85 April
2. Basel Committee on Banking Supervision. International Convergence of Capital Measurement and Capital Standards: a Revised Framework (2004), Bank for International Settlements
3. Basel Committee on Banking Supervision. Basel committee newsletter no. 6: validation of low-default portfolios in the basel ii framework. Technical Report (2005), Bank for International Settlements
4. Berger J.O. Statistical Decision Theory: Foundations, Concepts and Methods (1980), Springer-Verlag
5. Berger J., and Berliner L.M. Robust bayes and empirical bayes analysis with contaminated priors. The Annals of Statistics 14 2 (1986) 461-486 Jun.
6. Box G.E.P., and Tiao G.C. Bayesian Inference in Statistical Analysis (1992), John Wiley & Sons, New York
7. Chaloner K.M., and Duncan G.T. Assessment of a beta prior distribution: Pm elicitation. The Statistician, 32(1/2, Proceedings of the 1982 I.O.S. Annual Conference on Practical Bayesian Statistics) (1983) 174-180 Mar.
8. DeGroot M.H. Optimal Statistical Decisions (1970), McGraw-Hill
9. Diaconis P., and Ylvisaker D. In: Bernardo J.M., DeGroot M.H., Lindley D.V., and Smith A.F.M. (Eds). Quantifying Prior Opinion. Bayesian Statistics vol. 2 (1985), Elsevier Science Publishers BV, North-Holland 133-156
10. Dwyer D.W. The distribution of defaults and bayesian model validation. Technical report, Moody's/KMV (2006) November
11. Garthwaite P.H., Kadane J.B., O, and Hagan A. Statistical methods for eliciting probability distributions. Journal of the American Statistical Association 100 (2005) 680-701
12. Jaynes E.T. Probability Theory: the Logic of Science (2003), Cambridge University Press, New York
13. Kadane J.B., and Wolfson L.J. Experiences in elicitation. The Statistician 47 1 (1998) 3-19
14. Kadane J.B., Dickey J.M., Winkler R.L., Smith W.S., and Peters S.C. Interactive elicitation of opinion for a normal linear model. Journal of the American Statistical Association 75 372 (1980) 845-854 Dec.
15. Kahneman D., and Tversky A. Judgement under uncertainty: heuristics and biases. Science 185 (1974) 1124-1131
16. Lindley D.V., Tversky A., and Brown R.V. On the reconciliation of probability assessments. Journal of the Royal Statistical Society. Series A (General) 142 2 (1979) 146-180
17. Lindley D.V. The improvement of probability judgements. Journal of the Royal Statistical Society. Series A (General) 145 1 (1982) 117-126
18. OCC. Validation of credit rating and scoring models: a workshop for managers and practitioners. Office of the Comptroller of the Currency (2006)
19. Pluto K., and Tasche D. Thinking positively. Risk (2005) 72-78 August
20. Raiffa H., and Schlaifer R. Applied Statistical Decision Theory (1961), Harvard Business School
21. Wilde T., and Jackson L. Low-default portfolios without simulation. Risk (2006) 60-63 August
22. Zellner A. Introduction to Bayesian Inference in Econometrics (1996), John Wiley & Sons, New York