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Confidence Intervals for Probabilities of Default
Social Science Research Network
In this paper we conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD) using several analytical approaches as well as parametric and nonparametric bootstrap methods. We do so for two different PD estimation methods, cohort and duration (intensity), with 22 years of credit ratings data. We find that the bootstrapped intervals for the duration based estimates are relatively tight when compared to either analytic or bootstrapped intervals around thedoi:10.2139/ssrn.766345 fatcat:r37dqkf2rvenhouoh4gzzri5km