Benutzer: Gast  Login
Dokumenttyp:
Diplomarbeit 
Autor(en):
Höcht, Stephan 
Titel:
Comparing Default Probability Models 
Abstract:
We compare different ways of modeling real-world (as opposed to risk-neutral) probabilities of default over a fixed time horizon conditioned on a vector of explanatory variables like financial ratios or macroeconomic indicators. Besides a simple approach based on a logistic regression, we discuss a maximum expected utility approach, which chooses the model measure from a one-parameter family of pareto-optimal measures. These are defined in terms of consistency with the data and consistency with...    »
 
Betreuer:
Dr. Schmid (FitchRisk), Dr. H. Farquhar (FitchRisk) 
Gutachter:
Prof. Dr. Rudi Zagst 
Jahr:
2006 
Sprache:
en 
Hochschule / Universität:
Technische Universität München 
Fakultät:
Fakultät für Mathematik 
Format:
Text