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Document type:
Zeitschriftenaufsatz 
Author(s):
Höcht, S.; Zagst, R. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
Generalized Maximum Expected Utility Models for Default Risk - A Comparison of Models with Different Dependence Structures 
Abstract:
We compare different ways of modeling real-world probabilities of default over a fixed time horizon conditioned on a vector of explanatory variables. Besides a simple logistic regression, we introduce an extended version of the logistic regression that allows for modeling further dependencies. We also discuss a maximum expected utility approach (MEU), which chooses the model measure from a one-parameter family of pareto-optimal measures defined in terms of consistency with the data and a prior m...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Journal of Credit Risk 
Year:
2007 
Journal volume:
Journal issue:
Pages contribution:
3-24 
Language:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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