| Title |
Probabilistic overview of probabilities of default for low default portfolios by K. Pluto and D. Tasche / |
| Translation of Title |
Iмовiрнiсний оглядймовiрностей дефолту для портфелiв з низьким рiвнем дефолту введених К.Плуто та Д. Таше. |
| Authors |
Grigutis, Andrius |
| DOI |
10.17721/1812-5409.2023/2.7 |
| Full Text |
|
| Is Part of |
Вісник Київського національного університету імені Тараса Шевченка. Серія: фізико-математичні науки = Bulletin of Taras Shevchenko National University of Kyiv. Series: physics and mathematics.. Кĭiв : Киĭвський нацiональний унiверситет iменi Тараса Шевченка. 2023, no. 2, p. 63-74.. ISSN 1812-5409. eISSN 2218-2055 |
| Keywords [eng] |
probability of default ; binomial distribution ; beta-normal distribution ; Vasicek distribution ; Pluto-Tasche method |
| Abstract [eng] |
This article gives a probabilistic overview of the widely used method of default probability estimation proposed by K. Pluto and D. Tasche. There are listed detailed assumptions and derivation of the inequality where the probability of default is involved under the influence of systematic factor. The author anticipates adding more clarity, especially for early career analysts or scholars, regarding the assumption of borrowers' independence, conditional independence, and interaction between the probability distributions such as binomial, beta, normal, and others. There is also shown the relation between the probability of default and the joint distribution of \sqrt{ϱ}X - \sqrt{1-ϱ}Y, where X, including but not limiting, is the standard normal, Y admits, including but not limiting, the beta-normal distribution and X, Y are independent. |
| Published |
Кĭiв : Киĭвський нацiональний унiверситет iменi Тараса Шевченка |
| Type |
Journal article |
| Language |
English |
| Publication date |
2023 |
| CC license |
|
