Predictions based on certain uncertainties-a Bayesian credit portfolio approach

@inproceedings{Gssl2005PredictionsBO,
  title={Predictions based on certain uncertainties-a Bayesian credit portfolio approach},
  author={Christoff G{\"o}ssl},
  year={2005}
}
The analysis of default probabilities and correlations within credit risky portfolios is usually strongly affected by the scarce availability of data. High standard deviations and a fair amount of uncertainty in the derived estimates are well known consequences of this. However, when deriving predictions in a second stage these volatilities are usually ignored and only point estimators are used, giving a false appearance of accuracy. The aim of this paper is to show how a consideration of these… CONTINUE READING

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