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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 |
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