Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60699
Authors: 
Schuermann, Til
Hanson, Samuel Gregory
Year of Publication: 
2004
Series/Report no.: 
Staff Report, Federal Reserve Bank of New York 190
Abstract: 
We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods
Subjects: 
cohort and duration (intensity)
JEL: 
G21
G28
C16
Document Type: 
Working Paper

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