Essays about: "grade level estimates."

Found 1 essay containing the words grade level estimates..

1. 1. Estimation of Probability of Default in Low Default Portfolios

   University essay from Lunds universitet/Matematisk statistik

   Author : Linnéa Gerhardsson; Nina Castor; [2017]
   Keywords : Probability of default; PD; Low default portfolio; LDP; BCR; Bayesian; Vasicek; Monte Carlo; subportfolios; grade level estimates.; Mathematics and Statistics;

   Abstract : Estimation of probability of default (PD) is a fundamental part of credit risk modeling, and estimation of PD in low default portfolios is a common issue for banks and financial institutions. The Basel Committee on Banking Supervision requires banks and financial institutions to add an additional margin of conservatism to its PD estimates in the case of insufficient data, as in low default portfolios with few default observations. READ MORE