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Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >

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http://hdl.handle.net/10419/19727
  

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dc.contributor.authorHamerle, Alfreden_US
dc.contributor.authorLiebig, Thiloen_US
dc.contributor.authorRösch, Danielen_US
dc.date.accessioned2009-01-28T16:02:43Z-
dc.date.available2009-01-28T16:02:43Z-
dc.date.issued2003en_US
dc.identifier.urihttp://hdl.handle.net/10419/19727-
dc.description.abstractDefault 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.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesDiscussion Paper, Series 2: Banking and Financial Supervision 2003,02en_US
dc.subject.jelG21en_US
dc.subject.jelC1en_US
dc.subject.ddc330en_US
dc.subject.keywordCredit Risken_US
dc.subject.keywordCredit Ratingsen_US
dc.subject.keywordProbability of Defaulten_US
dc.subject.keywordBank Regulationen_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwKreditwürdigkeiten_US
dc.subject.stwWahrscheinlichkeitsrechnungen_US
dc.subject.stwBasel IIen_US
dc.subject.stwEigenkapitalvorschriftenen_US
dc.subject.stwSchätzungen_US
dc.subject.stwWelten_US
dc.titleCredit Risk Factor Modeling and the Basel II IRB Approachen_US
dc.typeWorking Paperen_US
dc.identifier.ppn391294237en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp2:2226-
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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