Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70439
Authors: 
Kiefer, Nicholas M.
Year of Publication: 
2009
Series/Report no.: 
CAE Working Paper 09-01
Abstract: 
Stochastically ordered random variables with given marginal distributions are combined into a joint distribution preserving the ordering and the marginals using a maximum entropy formulation. A closed-form expression is obtained. An application is in default estimation for different portfolio segments, where priors on the individual default probabilities are available and the stochastic ordering is agreeable to separate experts. The ME formulation allows an efficiency improvement over separate analyses.
Subjects: 
Bayesian analysis
stochastic dominance
joint distributions
risk management
defaults
small probability estimation
Document Type: 
Working Paper

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