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Bayesian approach for risk bucketing.

Lau, Ka Ho. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 46-48). / Abstract also in Chinese. / Chapter 1 --- Introduction to Global Credit Risk Management Standard --- p.1 / Chapter 1.1 --- Background --- p.2 / Chapter 1.2 --- Basel Accords --- p.2 / Chapter 1.3 --- Risk Bucketing --- p.7 / Chapter 2 --- Current Practices of Risk Bucketing and PD Estimation --- p.10 / Chapter 2.1 --- Credit Scoring --- p.10 / Chapter 2.2 --- Risk Bucketing after Credit Scoring --- p.12 / Chapter 2.3 --- Related Literature Review --- p.14 / Chapter 2.4 --- Objective --- p.16 / Chapter 3 --- Bayesian Model for risk bucketing --- p.17 / Chapter 3.1 --- The Model --- p.17 / Chapter 3.2 --- Posterior Distribution --- p.19 / Chapter 3.3 --- Gibbs Sampler for the Posterior Distribution --- p.22 / Chapter 3.3.1 --- General Gibbs Sampler Theory --- p.22 / Chapter 3.3.2 --- The Gibbs Sampler for the Proposed Model --- p.23 / Chapter 3.4 --- Monitoring Convergence of the Gibbs Sampler --- p.26 / Chapter 3.5 --- "Estimation, Bucketing and Prediction" --- p.28 / Chapter 3.5.1 --- Estimation --- p.28 / Chapter 3.5.2 --- Bucketing --- p.28 / Chapter 3.5.3 --- Prediction --- p.29 / Appendix --- p.29 / Chapter 4 --- Simulation Studies and Real Data Analysis --- p.32 / Chapter 4.1 --- Simulation Studies --- p.32 / Chapter 4.1.1 --- Details of Simulation --- p.32 / Chapter 4.1.2 --- Simulation Procedures --- p.34 / Chapter 4.1.3 --- Predictive Performance --- p.35 / Chapter 4.1.4 --- Summary of Simulation Results --- p.36 / Chapter 4.2 --- Real Data Analysis --- p.37 / Chapter 5 --- Conclusion and Discussion --- p.44 / Bibliography --- p.46

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326860
Date January 2009
ContributorsLau, Ka Ho., Chinese University of Hong Kong Graduate School. Division of Risk Management Science.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, viii, 48 leaves : ill. (some col.) ; 30 cm.
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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