Abstract
The purpose of this paper is two-fold: (1) to present a stochastic dominance technique which can be used to quantify differences in cumulative probability distributions of data, and (2) to demonstrate this technique by quantifying the probability of default as assessed by the bond market. We suggest, then, that the contribution of this paper lies in its introduction of a new methodology which we then use to answer a question in economics and finance.
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Broske, M.S., Levy, H. (1989). The Stochastic Dominance Estimation of Default Probability. In: Fomby, T.B., Seo, T.K. (eds) Studies in the Economics of Uncertainty. Springer, New York, NY. https://doi.org/10.1007/978-1-4613-8922-4_6
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DOI: https://doi.org/10.1007/978-1-4613-8922-4_6
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