Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/70472 
Autor:innen: 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
CAE Working Paper No. 07-11
Verlag: 
Cornell University, Center for Analytical Economics (CAE), Ithaca, NY
Zusammenfassung: 
Default is a rare event, even in segments in the midrange of a bank's portfolio. Inference about default rates is essential for risk management and for compliance with the requirements of Basel II. Most commercial loans are in the middle-risk categories and are to unrated companies. Expert information is crucial in inference about defaults. A Bayesian approach is proposed and illustrated using a prior distribution assessed from an industry expert. The method of All Likely Datasets, based on sufficient statistics and expert information, is used to characterize likely datasets for analysis. A check of robustness is illustrated with an e-mixture of priors.
Schlagwörter: 
Bayesian inference
robustness
expert information
Basel II
risk management
prior assessment
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
323.68 kB





Publikationen in EconStor sind urheberrechtlich geschützt.