Estimates of probability of default (PD), loss given default and exposure at default for portfolio segments containing reasonably homogeneous assets are essential for prudent risk management as well ...

Estimation of probability of default (PD), loss given default and exposure at default for portfolio segments containing reasonably homogeneous assets is essential for prudent risk management as well ...

We develop an alternative approach to the general equilibrium analysis of a stochastic production economy when firms' choices of investment influence the probability distributions of their output.