Modeling default probability in credit portfolios : evidence based on debt securities issuers in Germany

Lavri Labi

doi:10.18453/rosdok_id00001958

Labi, Lavri

Modeling default probability in credit portfolios : evidence based on debt securities issuers in Germany

Rostock : Universität , 2017

https://doi.org/10.18453/rosdok_id00001958

http://purl.uni-rostock.de/rosdok/id00001958

Abstract:

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.

Dissertation Open Access

Einrichtung :

Wirtschafts- und Sozialwissenschaftliche Fakultät

Gutachter :

Weißbach, Rafael (Prof. Dr.)

Neuberger, Doris (Prof. Dr.)

Jahr der Abgabe:

2016

Jahr der Verteidigung:

2016

Sprache(n) :

Englisch

Schlagworte:

credit rating, credit risk, probability of default (PD), systematic risk, default correlation, generalised linear mixed model (GLMM), double exponential smoothing

DDC Klassifikation :

330 Wirtschaft

URN :

urn:nbn:de:gbv:28-diss2017-0122-9

Persistente URL:

http://purl.uni-rostock.de/rosdok/id00001958

erstellt am:

2017-09-26

zuletzt geändert am:

2018-06-30