Arbeitspapier
Default estimation and expert information: All likely dataset analysis and robust validation
Default is a rare event, even in segments in the midrange of a bank's portfolio. Inference about default rates is essential for risk management and for compliance with the requirements of Basel II. Most commercial loans are in the middle-risk categories and are to unrated companies. Expert information is crucial in inference about defaults. A Bayesian approach is proposed and illustrated using a prior distribution assessed from an industry expert. The method of All Likely Datasets, based on sufficient statistics and expert information, is used to characterize likely datasets for analysis. A check of robustness is illustrated with an e-mixture of priors.
- Sprache
-
Englisch
- Erschienen in
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Series: CAE Working Paper ; No. 07-11
- Klassifikation
-
Wirtschaft
- Thema
-
Bayesian inference
robustness
expert information
Basel II
risk management
prior assessment
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kiefer, Nicholas M.
- Ereignis
-
Veröffentlichung
- (wer)
-
Cornell University, Center for Analytical Economics (CAE)
- (wo)
-
Ithaca, NY
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kiefer, Nicholas M.
- Cornell University, Center for Analytical Economics (CAE)
Entstanden
- 2007
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