a carregar...

GEMF

Grupo de Estudos Monetários e Financeiros

Estudos do GEMF, N.º 05 de 2000

  

Estimation of Default Probabilities Using Incomplete Contracts Data


J. M. C. Santos Silva

ISEG, Universidade Técnica de Lisboa


J. M. R. Murteira

Faculdade de Economia, Universidade de Coimbra

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.

JEL Classification: C21, C51, G21.

Keywords: Beta-binomial distribution; Credit scoring; Hurdle models.

Download PDF

Download
(593 KB)