Results 261 to 270 of about 160,958 (306)

Calibration of the default probability model

European Journal of Operational Research, 2008
Abstract In this paper, we study the calibration problem for the Merton–Vasicek default probability model [Robert Merton, On the pricing of corporate debt: the risk structure of interest rate, Journal of Finance 29 (1974) 449–470]. We derive conditions that guarantee existence and uniqueness of the solution.
Alexander Y. Kreinin, Ahmed Nagi
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Probability of Default (PD)

2022
The following sections are included: Default Definition Rating System Rating System Concept Rating Grades PD Estimation Methods Probit and Logit Models Calibration Bernoulli Distribution and Binomial Process Time Scaled Default Probabilities Time Scaled Rating Transitions Modeling Tails Additional Thoughts on ...
Giuseppe Orlando, Michele Bufalo, Henry Penikas, Concetta Zurlo   +3 more
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Confidence intervals for probabilities of default

Journal of Banking & Finance, 2005
In this paper we conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD) using several analytical approaches as well as parametric and nonparametric bootstrap methods. We do so for two different PD estimation methods, cohort and duration (intensity), with 22 years of credit ratings data.
Samuel Gregory Hanson, Til Schuermann
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Modeling default probabilities: The case of Brazil [PDF]

Journal of International Financial Markets, Institutions and Money, 2011
Abstract Using disaggregated data from the Brazilian stock market, we calculate default probabilities for 30 different economic sectors. Empirical results suggest that domestic macroeconomic factors can explain these default probabilities. In addition, we construct the Minimum Spanning Tree (MST) and the ultrametric hierarchical tree with the MST ...
Benjamin M. Tabak, Daniel O. Cajueiro, A. Luduvice   +2 more
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Estimation of Default Probabilities and Default Correlations

2005
This 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, Konstantin Vogl, Robert Wania   +2 more
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Non-parametric Estimators for the Probability of Default

2004
The estimation of the probability of default based on information on the individual customer or the company is an important part of credit screening, i.e., judging the credit standing. It is essential for the establishment of a rating or for measuring credit risk to estimate the probability that a company will end in financial difficulties within a ...
Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner   +2 more
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AN IMPROVED APPROACH TO EVALUATE DEFAULT PROBABILITIES AND DEFAULT CORRELATIONS WITH CONSISTENCY

International Journal of Theoretical and Applied Finance, 2016
We provide (i) a simplified analytic closed form formula for evaluating joint default probability, (ii) an improved method to resolve the inconsistency between the univariate process underlying firm-specific default probability and the correlated bivariate process of the first-passage-time default correlation model, (iii) illustration of risk ...
Li, Weiping, Krehbiel, Tim
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Joint Default Probabilities and Sovereign Risk

International Interactions, 2007
The assessment of sovereign risk is of crucial importance for international lenders and investors. Many existing sovereign risk approaches are opaque and heavily rely on subjective choices. In general, they lack a theoretical basis. To assess sovereign risk, we use the Merton model in which a loan defaults if the value of a firm's assets falls below ...
Scholtens, Bert, Hameeteman, Daphne
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Default Reasoning about Probabilities

1995
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Validation of Default Probabilities

Journal of Financial and Quantitative Analysis, 2011
AbstractWell-performing default predictions show good discrimination and calibration. Discrimination is the ability to separate defaulters from nondefaulters. Calibration is the ability to make unbiased forecasts. I derive novel discrimination and calibration statistics to verify forecasts expressed in terms of probability under dependent observations.
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