Object

Title: The issue of PD estimation - a practical approach

Creator:

Siarka, Paweł

Description:

Mathematical Economics, 2011, Nr 7 (14), s. 199-212

Abstrakt:

The issue of estimating the probability of default constitutes one of the foundations of risk systems applied in modern banking. The Basel Committee pays a lot of attention to ways of its estimation and validation. This paper discusses statistical methods enabling PD estimations with consideration of the retail character of a credit portfolio. The author refers to the issue of defining default and to the way of calculating the number of days in arrears. This paper presents the results of research studies obtained on the basis of retail credit portfolio. For selected sub-portfolios, the author makes a comparison of the probability of default, which enables the explicit risk assessment.

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2011

Resource Type:

artykuł

Resource Identifier:

oai:dbc.wroc.pl:18920

Language:

eng

Relation:

Mathematical Economics, 2011, Nr 7 (14)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu

Group publication title:

Mathematical Economics

Format:

application/pdf

Object collections:

Last modified:

Oct 17, 2019

In our library since:

Jan 22, 2013

Number of object content hits:

123

All available object's versions:

https://dbc.wroc.pl/publication/21196

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Edition name Date
The issue of PD estimation - a practical approach Oct 17, 2019

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