Default probability estimation in small samples—with an application to sovereign bonds
From MaRDI portal
Publication:5400656
DOI10.1080/14697688.2013.792436zbMath1282.91361MaRDI QIDQ5400656
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
empirical Bayes; survival analysis; simulation study; sovereign default risk; low-default portfolios
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
62C12: Empirical decision procedures; empirical Bayes procedures
91G40: Credit risk
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