Please use this identifier to cite or link to this item: http://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: http://hdl.handle.net/10316/11917
Rights: openAccess
Appears in Collections:FEUC- Vários

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