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Document type:
Zeitschriftenaufsatz 
Author(s):
Czado, C., Pflüger, C. 
Title:
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...    »
 
Keywords:
credit risk, default probability, asset correlation, generalized linear mixed models, Markov chain Monte Carlo, prediction 
Journal title:
Applied Stochastic Models in Business and Industry 
Year:
2008 
Journal volume:
24 
Journal issue:
Pages contribution:
237-259 
Reviewed:
ja 
Language:
en 
Fulltext / DOI:
Status:
Verlagsversion / published 
Semester:
SS 08 
Format:
Text