Arbeitspapier
Estimating probabilities of default
We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods
- Language
-
Englisch
- Bibliographic citation
-
Series: Staff Report ; No. 190
- Classification
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
- Subject
-
cohort and duration (intensity)
Insolvenz
Kreditwürdigkeit
Schätztheorie
- Event
-
Geistige Schöpfung
- (who)
-
Schuermann, Til
Hanson, Samuel Gregory
- Event
-
Veröffentlichung
- (who)
-
Federal Reserve Bank of New York
- (where)
-
New York, NY
- (when)
-
2004
- Handle
- Last update
- 10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Schuermann, Til
- Hanson, Samuel Gregory
- Federal Reserve Bank of New York
Time of origin
- 2004
Other Objects (12)
Estimating probabilities of default with support vector machines
Estimating probabilities of default with support vector machines
Default probabilities and default correlations
Estimating probabilities of default for German savings banks and credit cooperatives
Default probabilities and default correlations under stress
Default probabilities and default correlations under stress
Estimating Subjective Probabilities
Country Default Probabilities: Assessing and Backtesting
Estimation of default probabilities with Support Vector Machines
Impact of macro shocks on sovereign default probabilities
Estimating Probabilities of Default using Support Vector Machines
Estimating Probabilities of Default With Support Vector Machines
Estimating probabilities of default with support vector machines
Estimating probabilities of default with support vector machines
Default probabilities and default correlations
Estimating probabilities of default for German savings banks and credit cooperatives
Default probabilities and default correlations under stress
Default probabilities and default correlations under stress
Estimating Subjective Probabilities
Country Default Probabilities: Assessing and Backtesting
Estimation of default probabilities with Support Vector Machines
Impact of macro shocks on sovereign default probabilities
Estimating Probabilities of Default using Support Vector Machines
Estimating Probabilities of Default With Support Vector Machines
Estimating probabilities of default with support vector machines
Estimating probabilities of default with support vector machines
Default probabilities and default correlations
Estimating probabilities of default for German savings banks and credit cooperatives
Default probabilities and default correlations under stress
Default probabilities and default correlations under stress
Estimating Subjective Probabilities
Country Default Probabilities: Assessing and Backtesting
Estimation of default probabilities with Support Vector Machines
Impact of macro shocks on sovereign default probabilities
Estimating Probabilities of Default using Support Vector Machines