Simultaneous confidence intervals for default probabilities

被引：0
|
作者：
Höse, S [1 ]
Huschens, S [1 ]
机构：
[1] Tech Univ Dresden, Fac Wirtschaftswissensch, Lehrstuhl Quantitat Verfahren, D-01062 Dresden, Germany
来源：
BETWEEN DATA SCIENCE AND APPLIED DATA ANALYSIS | 2003年
关键词：
D O I：
暂无
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
A single-factor portfolio model for credit risk with K rating categories and different default probabilities p(k) and correlations rho(k) for each rating category k = 1,..., K is considered. In this framework simultaneous confidence intervals for the default probabilities based on observed relative default frequencies are derived.
引用
收藏
页码：555 / 560
页数：6
相关论文
共 50 条
12345