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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Czado, C., Pflüger, C. 
Titel:
Modeling dependencies between rating categories and their efects on prediction in a credit risk portfolio. 
Abstract:
The internal-rating-based Basel II approach increases the need for the development of more realistic default probability models. In this paper, we follow the approach taken in McNeil A and Wendin J [7], (J. Empirical Finance 2007) by constructing generalized linear mixed models for estimating default probabilities from annual data on companies with different credit ratings. The models considered, in contrast to McNeil A and Wendin J [7], (J. Empirical Finance 2007), allow parsimonious parametric...    »
 
Stichworte:
credit risk, default probability, asset correlation, generalized linear mixed models, Markov chain Monte Carlo, prediction 
Zeitschriftentitel:
Applied Stochastic Models in Business and Industry 
Jahr:
2008 
Band / Volume:
24 
Heft / Issue:
Seitenangaben Beitrag:
237-259 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Semester:
SS 08 
Format:
Text