Probabilistic Overview of Probabilities of Default for Low Default Portfolios by K. Pluto and D. Tasche

DOI10.17721/1812-5409.2023/2.7arXiv2303.06148OpenAlexW4391150457MaRDI QIDQ6186818

Andrius Grigutis

Publication date: 2 February 2024

Published in: Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2303.06148

zbMATH Keywords

binomial distributionprobability of defaultbeta-normal distributionPluto-Tasche methodVasicek distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)

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