Office of the Comptroller of the Currency, Ensuring a safe and sound national banking system for all Americans Site Map | Text Size: S M L

Alphabetical Listing

Publications by Topic

Publications by Type

BankNet

BankNet
More resources for national banks

HelpWithMyBank.gov

HelpWithMyBank.gov

Get answers to banking questions

Job Seekers

Job Seekers
Join one of the best places to work

Default Estimation for Low-Default Portfolios

by Nicholas M. Kiefer

Abstract

The problem in default probability estimation for low-default portfolios is that there is little relevant historical data information. No amount of data processing can fix this problem. More information is required. Incorporating expert opinion formally is an attractive option.

Disclaimer

Any whole or partial reproduction of material in this paper should include the following citation: Nicholas M. Kiefer, "Default Estimation for Low-Default Portfolios," Office of the Comptroller of the Currency, Economics Working Paper 2006-2, September 2006.

Availability

This Economics Working Paper (PDF 230KB) is available for viewing in Adobe's PDF format. The PDF viewer is available for download free from Adobe in versions for different platforms.