Murteira, J M R and Santos Silva, Joao M C (2000) Estimation of Default Probabilities Using Incomplete Contracts Data. Working Paper. Econometric Society World Congress 2000 Contributed Papers.
Murteira, J M R and Santos Silva, Joao M C (2000) Estimation of Default Probabilities Using Incomplete Contracts Data. Working Paper. Econometric Society World Congress 2000 Contributed Papers.
Murteira, J M R and Santos Silva, Joao M C (2000) Estimation of Default Probabilities Using Incomplete Contracts Data. Working Paper. Econometric Society World Congress 2000 Contributed Papers.
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.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Social Sciences > Economics, Department of |
| Depositing User: | Jim Jamieson |
| Date Deposited: | 08 Aug 2012 12:30 |
| Last Modified: | 08 Aug 2012 12:30 |
| URI: | http://repository.essex.ac.uk/id/eprint/3603 |