政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/75542

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113318/144297 (79%)
Visitors : 51073538 Online Users : 934

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 統計學系 > 期刊論文 > Item 140.119/75542

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/75542

Title:	Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk
Authors:	Chang, Y.-P.;Yu, Chih-Tun 游智惇
Contributors:	統計系
Keywords:	Asset correlation;Bayesian confidence intervals;MCMC;Portfolio credit risk;Probability of default;Serial dependence
Date:	2014-02
Issue Date:	2015-06-03 11:17:01 (UTC+8)
Abstract:	We derive Bayesian confidence intervals for the probability of default (PD), asset correlation (Rho), and serial dependence (Theta) for low default portfolios (LDPs). The goal is to reduce the probability of underestimating credit risk in LDPs. We adopt a generalized method of moments with continuous updating to estimate prior distributions for PD and Rho from historical default data. The method is based on a Bayesian approach without expert opinions. A Markov chain Monte Carlo technique, namely, the Gibbs sampler, is also applied. The performance of the estimation results for LDPs validated by Monte Carlo simulations. Empirical studies on Standard & Poor`s historical default data are also conducted. © 2013 Springer-Verlag Berlin Heidelberg.
Relation:	Computational Statistics, 29(1-2), 331-361
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1007/s00180-013-0453-2
DOI:	10.1007/s00180-013-0453-2
Appears in Collections:	[統計學系] 期刊論文

Files in This Item:

File	Size	Format
331-361.pdf	933Kb	Adobe PDF2	544	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...