当数为时判别功率和PD曲线的估计 默认值很小

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摘要翻译：
本文的目的是提供实现违约概率曲线参数估计的两阶段方法所需的所有估计概念和技术。在该方法的第一阶段，基于反映辨别能力的参数估计原始PD曲线。在该方法的第二阶段，校正原始PD曲线以拟合目标无条件PD。提出的概念和技术包括对曲线下面积(AUC)和精确度比(AR)的不同定义的讨论，对AUC置信区间估计器性能的仿真研究，对van der Burgt(2008)估计PD曲线的单参数方法和其他方法的讨论，以及对所提出的PD曲线估计器性能的仿真研究。对这些专题进行了深入讨论，以便提供其背后的充分理由，并产生可立即实施的结果。
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英文标题：
《Estimating discriminatory power and PD curves when the number of
  defaults is small》
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作者：
Dirk Tasche
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  The intention with this paper is to provide all the estimation concepts and techniques that are needed to implement a two-phases approach to the parametric estimation of probability of default (PD) curves. In the first phase of this approach, a raw PD curve is estimated based on parameters that reflect discriminatory power. In the second phase of the approach, the raw PD curve is calibrated to fit a target unconditional PD. The concepts and techniques presented include a discussion of different definitions of area under the curve (AUC) and accuracy ratio (AR), a simulation study on the performance of confidence interval estimators for AUC, a discussion of the one-parametric approach to the estimation of PD curves by van der Burgt (2008) and alternative approaches, as well as a simulation study on the performance of the presented PD curve estimators. The topics are treated in depth in order to provide the full rationale behind them and to produce results that can be implemented immediately.
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PDF链接：
https://arxiv.org/pdf/0905.3928

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关键词：Applications Quantitative Econophysics Application performance concepts 方法 技术 approach presented