估计无违约和低违约投资组合的违约概率:通过下限约束的参数规范

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-07-14 DOI:10.1093/jrsssc/qlad061

Oliver Blümke

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引用次数: 0

摘要

对于低违约和无违约的投资组合，金融机构面临的问题是估计没有违约的信用评级的违约概率。贝叶斯方法提供了一种解决方案，但也带来了先验分布参数分配的问题。顺序贝叶斯更新允许解决先验分布的位置参数或平均值的问题。本文提出利用底面约束来确定先验分布的尺度或标准差参数。floor约束也可用于确定Pluto-Tasche方法中的自由参数γ。

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Estimating default probabilities for no- and low-default portfolios: parameter specification via floor constraints

For low- and no-default portfolios, financial institutions are confronted with the problem to estimate default probabilities for credit ratings for which no default was observed. The Bayesian approach offers a solution but brings the problem of the parameter assignment of the prior distribution. Sequential Bayesian updating allows to settle the question of the location parameter or mean of the prior distribution. This article proposes to use floor constraints to determine the scale or standard deviation parameter of the prior distribution. The floor constraint can also be used to determine the free parameter γ in the Pluto–Tasche approach.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.