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Thinking Positively
Company: Risk
Company Url: Click here to open
Year Of Publication: 2005
Month Of Publication: August
Pages: 72-78
Download Count: 584
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 5-29-2006
Publisher: Administrator
Summary
How does one produce positive probability of default estimates if there are no default observations? Katja Pluto and Dirk Tasche propose a statistically based methodology to derive non-zero probabilities of default for credit portfolios with none or very few observed defaults. Their most-prudent estimation principle delivers results for any desired degree of conservatism, and can be applied to both uncorrelated and correlated default events. The estimates could serve as a basis for bank internal credit risk management and regulatory purposes alike.
Author(s)
Pluto, Katja Sign in to follow this author
Tasche, Dirk Sign in to follow this author
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