Default probability estimation in small samples—with an application to sovereign bonds

DOI10.1080/14697688.2013.792436zbMath1282.91361OpenAlexW3123265835MaRDI QIDQ5400656

Walter Orth

Publication date: 4 March 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.792436

zbMATH Keywords

empirical Bayessurvival analysissimulation studysovereign default risklow-default portfolios

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Empirical decision procedures; empirical Bayes procedures (62C12) Credit risk (91G40)

Related Items

Default probability estimation via pair copula constructions, Bayesian estimation of a proportional hazards model for double-censored durations, Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk

Cites Work

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• On sovereign credit migration: a study of alternative estimators and rating dynamics
• Default Estimation and Expert Information