TY  - BOOK
AU  - Labi, Lavri
PY  - 2016
DA  - 2016//
TI  - Modeling default probability in credit portfolios: evidence based on debt securities issuers in Germany
PB  - Universität Rostock
CY  - Rostock
AB  - 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>
UR  - http://rosdok.uni-rostock.de/resolve/urn/urn:nbn:de:gbv:28-diss2017-0122-9
LA  - English
N1  - author: Lavri Labi
ID  - 898495938
ER  -