Bayesian Approach for Credit Risk Parameters
The article introduces a Bayesian model to estimate default probabilities in low-default portfolios, using credit derivatives market data and observed default data for better risk differentiation.
Featured in No. 13 on 24 Aug 2023 ·
- Released
- 19 Apr 2023
- First featured
- No. 13 · 24 Aug 2023
- Published in
- Not yet, as far as Semantic Scholar knows
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- 98
- Identifier
- SSRN 4544025
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