Not a stock answer
How does one produce positive probability of default estimates if there are no defaultobservations? Katja Pluto and Dirk Tasche propose a statistically based methodology to derivenon-zero probabilities of default for credit portfolios with none or very few observed defaults.Their most-prudent estimation principle delivers results for any desired degree of conservatism,and can be applied to both uncorrelated and correlated default events. The estimates couldserve as a basis for bank internal credit risk management and regulatory purposes alike
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