Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316/11917| Title: | Estimation of Default Probabilities Using Incomplete Contracts Data | Authors: | Silva, J. M. C. Santos Murteira, J. M. R. |
Keywords: | Beta-binomial distribution; Credit scoring; Hurdle models | Issue Date: | 2000 | Publisher: | FEUC. Grupo de Estudos Monetários e Financeiros | Citation: | Estudos do GEMF. 5 (2000) | Abstract: | This paper develops a count data model for credit scoring which allows the estimation of default probabilities using incomplete contracts data. The model is based on the beta-binomial distribution, which is found to be particularly adequate to describe this sort of data. A well known data set on personal loans granted by a Spanish bank is used to illustrate the application of the proposed model. | URI: | https://hdl.handle.net/10316/11917 | Rights: | openAccess |
| Appears in Collections: | FEUC- Vários |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Estimation of Default Probabilities.pdf | 454.4 kB | Adobe PDF | View/Open |
Page view(s) 50
451
checked on Apr 16, 2024
Download(s)
221
checked on Apr 16, 2024
Google ScholarTM
Check
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.