Modeling default probability in credit portfolios: evidence based on debt securities issuers in Germany Labi, Lavri , 1978- (VerfasserIn) Weißbach, Rafael , 1971- (GutachterIn) Neuberger, Doris , 1962- (GutachterIn) Universität Rostock (Grad verleihende Institution) Universität Rostock Wirtschafts- und Sozialwissenschaftliche Fakultät (Grad verleihende Institution) Text theses Text Hochschulschrift 2016 2016 eng electronic resourceremoteComputermedienOnline-Ressource1 Online-Ressource Implementation of reliable rating systems for small credit portfolio is hindered by non-observed default events in databases and short time series of data available. In this study we propose an approach to handle those two challenges while developing rating systems. We further extend the approach by estimating systematic risk, that is, co-movements of creditworthiness of debt securities' issuers over time. Based on financial information from the PSVaG's debt securities portfolio, we could show that including a systematic risk component significantly increase the model accuracy.<eng> author: Lavri Labi Dissertation Universität Rostock 2016 330 QK 320 85.30 83.50 http://rosdok.uni-rostock.de/resolve/urn/urn:nbn:de:gbv:28-diss2017-0122-9 Modeling default probability in credit portfolios--(DE-627)868012939 urn:nbn:de:gbv:28-diss2017-0122-9 oclc: 1004712304 ppn: (DE-627)898495938