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Titel:

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

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
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...     »
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:
3
Seitenangaben Beitrag:
237-259
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1002/asmb.707
Status:
Verlagsversion / published
Semester:
SS 08
Format:
Text
 BibTeX