User: Guest  Login
Title:

Modeling dependencies between rating categories and their efects on prediction in a credit risk portfolio.

Document type:
Zeitschriftenaufsatz
Author(s):
Czado, C., Pflüger, C.
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:
3
Pages contribution:
237-259
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1002/asmb.707
Status:
Verlagsversion / published
Semester:
SS 08
Format:
Text
 BibTeX