dc.contributor.author |
Bodvin, L.J.S.
|
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dc.contributor.author |
Bekker, Andriette, 1958-
|
|
dc.contributor.author |
Roux, Jacobus J.J.
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|
dc.date.accessioned |
2011-10-14T06:21:45Z |
|
dc.date.available |
2011-10-14T06:21:45Z |
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dc.date.issued |
2011 |
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dc.description.abstract |
The Bayesian estimator of the Shannon entropy is derived using
Connor and Mosimann bivariate beta, bivariate beta type III and bivariate
beta type V distribution distributions. Given the increased focus on the
calculation of regulatory capital held by banks, it is important to have accurate
probability of default estimates. Therefore in this paper the use of the Bayesian
estimator of the Shannon entropy as a measure of certainty, when selecting
the parameters of these various bivariate beta prior distributions in a Bayesian
calibration framework, is illustrated using Moody’s corporate default rates. |
en |
dc.description.sponsorship |
This work is based upon research
supported by the National Research Foundation, South Africa (GRANT:
FA2007043000003). |
en_US |
dc.description.uri |
http://www.sastat.org.za/journal.htm |
en_US |
dc.identifier.citation |
Bodvin, LJS, Bekker, A & Roux, JJJ 2011, 'Shannon entropy as a measure of certainty in a Bayesian calibration framework with bivariate beta priors', South African Statistical Journal, vol. 45, no. 2, pp. 171-204. |
en |
dc.identifier.issn |
0038-271X |
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dc.identifier.uri |
http://hdl.handle.net/2263/17445 |
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dc.language.iso |
en |
en_US |
dc.publisher |
South African Statistical Association |
en_US |
dc.rights |
South African Statistical Association |
en |
dc.subject |
Bayes estimation |
en |
dc.subject |
Bivariate beta distributions |
en |
dc.subject |
Multinomial distribution |
en |
dc.subject |
Probability of default |
en |
dc.subject |
Shannon entropy |
en |
dc.subject.lcsh |
Calibration |
en |
dc.subject.lcsh |
Credit ratings |
en |
dc.title |
Shannon entropy as a measure of certainty in a Bayesian calibration framework with bivariate beta priors |
en |
dc.type |
Article |
en |