The probability approach to default probabilities
By: by Nicholas M. Kiefer.
Contributors: United States. Office of the Comptroller of the Currency.
Series: Economic and policy analysis working paper -- 2007-1; Economic and policy analysis working paper (2000 : Online) -- 2007-1.
Publisher: Office of the Comptroller of the Currency
Published: 2007
Place of publication: Washington, DC
Language: eng
Format: Electronic resource
Description: "The probability approach to uncertainty and modeling is applied to default probability estimation. Default estimation for low-default portfolios has attracted attention as banks contemplate the requirements of Basel II's IRB rules. Nicholas M. Kiefer proposes the formal introduction of expert information into quantitative analysis. An application treating the incorporation of expert information on the default probability is considered in detail"--Office of the Comptroller of the Currency web site.
Notes: Title from PDF file as viewed on 4/12/2007.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.