Loan pricing under estimation risk

DOI10.1515/STRM-2016-0005MaRDI QIDQ2397485zbMATH OpenOpenAlexFDO

Authors Richard Neuberg, Lauren Hannah

Publication date 22 May 2017

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/strm-2016-0005

zbMATH Keywords

credit scoringdefault probability predictionestimation risk premium

Mathematics Subject Classification ID

Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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Cited in

(3)

• scientific article; zbMATH DE number 5252487 (Why is no real title available?)
• Parameters measuring bank risk and their estimation
• Estimation of the loan spread equation with endogenous bank-firm matching

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Uses Software

• ElemStatLearn

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