Modeling default probability in credit portfolios
evidence based on debt securities issuers in Germany
Labi, Lavri
1978-
VerfasserIn
aut
Weißbach, Rafael
1971-
GutachterIn
oth
Neuberger, Doris
1962-
GutachterIn
oth
Universität Rostock
Grad verleihende Institution
dgg
Universität Rostock
Wirtschafts- und Sozialwissenschaftliche Fakultät
Grad verleihende Institution
dgg
text
theses
Text
Hochschulschrift
gw
2016
monographic
XA-DE
Rostock
University
publisher
2016
eng
1 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
Rostock : University, 2016
Druck-Ausgabe
(DE-627)868012939
Labi, Lavri, 1978 -
urn:nbn:de:gbv:28-diss2017-0122-9
1004712304
rda
DE-627
170926
898495938
20251224T205559.0
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