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Blogger Choice – Estimating Probability of Default for Low Default Portfolios April 12, 2007

Posted by riskopedia in Basel II, Model, PD, Retail Risk, Risk Management.
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If you are or have been doing modelling for Basel II, most likely you will come across one or more portfolios with low number of default, probably due to the limited historical modelling dataset in a beign economy environment.

 Here is a very neat paper I have came across when searching of interest. Again, the paper was located in Defaultrisk.com –> http://www.defaultrisk.com/pp_score_45.htm

Take a chance to have a look at it.

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