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Estimation of Default Probabilities and Default Correlations
2005This paper provides estimators for the default probability and default correlation for a portfolio of obligors. Analogously to rating classes, homogeneous groups of obligors are considered. The estimations are made in a general Bernoulli mixture model with a minimum of assumptions and in a single-factor model.
Stefan Huschens +2 more
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Estimation of Default Probabilities Part 3: Stochastic Default Probabilities: Credit Risk+
SSRN Electronic Journal, 2003The article provides a detailed analysis of the approach to estimate firms' default probabilities as it is proposed in the Credit Risk+ portfolio model. It is shown that systematic estimation errors occur in the methodology that also carry over to credit portfolio risk management.
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Implied Default Probability and Credit Derivatives
Asia-Pacific Financial Markets, 2003zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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2016
Validators should ensure that all model components and the related outputs have been thoroughly tested. Let us recall that the first of the BCBS (2005) validation principles is that “Validation is fundamentally about assessing the predictive ability of a bank’s risk estimates and the use of ratings in the credit process.” We will follow Tasche (2008 ...
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Validators should ensure that all model components and the related outputs have been thoroughly tested. Let us recall that the first of the BCBS (2005) validation principles is that “Validation is fundamentally about assessing the predictive ability of a bank’s risk estimates and the use of ratings in the credit process.” We will follow Tasche (2008 ...
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Are Default Probability Models Relevant for Low Default Portfolios?
SSRN Electronic Journal, 2013The aim of this paper is to address the validity of default probability models calibrated on a dataset including a very low (or none) number of defaults. The few approaches, proposed by the specialized literature are based on the confidence intervals computed via probabilistic, Bayesian or analytic methods.
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Default Probability, Loss Given Default, and Credit Portfolio Models
2015We have seen that counterparty credit risk calculations have, mainly, three components: first we need to estimate what the probability is of a given counterparty defaulting This number is usually referred to as the “PD” of the counterparty Then, we need to estimate how much we can be owed if a given counterparty defaults, the Exposure at Default (EaD ...
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Bayesian default probability models
2014This paper proposes a methodology for default probability estimation for low default portfolios, where the statistical inference may become troublesome. The author suggests using logistic regression models with the Bayesian estimation of parameters.
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