Default Estimation for Low-Default Portfolios:Working paper

机译：低默认投资组合的默认估算：工作文件

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The problem in default probability estimation for low-default portfolios is that there is little relevant historical data information. No amount of data processing can fix this problem. More information is required. Incorporating expert opinion formally is an attractive option.

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作者
Kiefer, N. M.;
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年度 2006
页码 p.1-28
总页数 28
原文格式 PDF
正文语种 eng
中图分类工业技术;
关键词
Bayesian inference; Bayesian estimation; Bayesian inference; Risk management; Expert informaiton; Low-default portfolios; Default probability estimation;

机译：贝叶斯推理;贝叶斯估计;贝叶斯推理;风险管理;专家信息;低缺省投资组合;违约概率估计;

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1. Estimating the probability of default for no-default and low-default portfolios [J] . Oliver Bluemke Journal of the royal statistical society . 2020,第PTa1期

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2. The loss given default of a low-default portfolio with weak contagion [J] . Wei Li, Yuan Zhongyi Insurance . 2016,第JANa期

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3. Phase transition in the Bayesian estimation of the default portfolio [J] . Physica, A. Statistical mechanics and its applications . 2020,第期

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4. Learning without Default: A Study of One-Class Classification and the Low-Default Portfolio Problem [C] . Kenneth Kennedy, Brian Mac Namee, Sarah Jane Delany Irish Conference on Artificial Intelligence and Cognitive Science . 2010

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5. Essays on Sovereign Default and Household Portfolio Choice [D] . Yang, Siqiang. 2019

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6. The Default Mode Network and the Working Memory Network Are Not Anti-Correlated during All Phases of a Working Memory Task [O] . Tommaso Piccoli, Giancarlo Valente, David E. J. Linden, -1

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7. Default estimation for low-default portfolios [O] . Nicholas M. Kiefer_ 2009

机译：低缺省投资组合的默认估计

Default Estimation for Low-Default Portfolios:Working paper

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