SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 121 matches

  • 1
  • 5
  • 6
  • 7
  • 8
  • 9
by ntruwant
September 16th, 2005, 5:48 am
Forum: Technical Forum
Topic: Constructing error bands for probability for Default (PD) estimate based on a Lorenz curve approach
Replies: 9
Views: 136720

Constructing error bands for probability for Default (PD) estimate based on a Lorenz curve approach

Hi,you should check out www.d-fine.biz/pool/bibliothek/ox_pgl_03.pdfI have just implemented the Lorenz correction to PD's at my company and it gives very satisfying results!
  • 1
  • 5
  • 6
  • 7
  • 8
  • 9
GZIP: On