@techreport{Hamerle2003Credit,
abstract = {Default probabilities (PDs) and correlations play a crucial role in the New Basel Capital Accord. In commercial
credit risk models they are an important constituent. Yet, modeling and estimation of PDs and correlations is still
under active discussion. We show how the Basel II one factor model which is used to calibrate risk weights can
be extended to a model for estimating PDs and correlations. The important advantage of this model is that it uses
actual information about the point in time of the credit cycle. Thus, uncertainties about the parameters which are
needed for Value-at-Risk calculations in portfolio models may be substantially reduced. First empirical evidence
for the appropriateness of the models and underlying risk factors is given with S&P data.},
author = {Alfred Hamerle and Thilo Liebig and Daniel R\"{o}sch},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G21; C1; 330; Credit Risk; Credit Ratings; Probability of Default; Bank Regulation; Kreditrisiko; Kreditw\"{u}rdigkeit; Wahrscheinlichkeitsrechnung; Basel II; Eigenkapitalvorschriften; Sch\"{a}tzung; Welt},
language = {eng},
number = {2003,02},
title = {Credit Risk Factor Modeling and the Basel II IRB Approach},
type = {Discussion Paper, Series 2: Banking and Financial Supervision},
url = {http://hdl.handle.net/10419/19727},
year = {2003}
}
