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Default Estimation and Expert Information: All Likely Dataset Analysis and Robust Validation

By Nicholas M. Kiefer


Default is a rare event, even in segments in the midrange of a bank’s portfolio. Most loans are in the middle-risk categories and sample sizes are often high. Expert information, crucial in inference about defaults in low-default segments, continues to be important in moderate-default situations. The method of All Likely Datasets, based on sufficient statistics and expert information, is used to characterize likely datasets for analysis. Robustness is illustrated with an ε-mixture of priors

Year: 2006
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