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dc.contributor.authorHamerle, Alfreden_US
dc.contributor.authorLiebig, Thiloen_US
dc.contributor.authorScheule, Haralden_US
dc.date.accessioned2009-01-28T16:02:43Z-
dc.date.available2009-01-28T16:02:43Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/19728-
dc.description.abstractThe main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the asset value of a firm as unknown and uses a factor model instead. In addition, we demonstrate how default correlations can be easily modeled. The empirical analysis is based on a large data set of German firms provided by Deutsche Bundesbank. We find that the inclusion of variables which are correlated with the business cycle improves the forecasts of default probabilities. Asset and default correlations depend on the factors used to model default probabilities. The better the point-in-time calibration of the estimated default probabilities, the smaller the estimated correlations. Thus, correlations and default probabilities should always be estimated simultaneously.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesDiscussion Paper, Series 2: Banking and Financial Supervision 2004,01en_US
dc.subject.jelC41en_US
dc.subject.jelG21en_US
dc.subject.jelC23en_US
dc.subject.ddc330en_US
dc.subject.keywordasset correlationen_US
dc.subject.keywordbank regulationen_US
dc.subject.keywordBasel IIen_US
dc.subject.keywordcredit risken_US
dc.subject.keyworddefault correlationen_US
dc.subject.keyworddefault probabilityen_US
dc.subject.keywordlogit modelen_US
dc.subject.keywordprobit modelen_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwMakroökonomischer Einflussen_US
dc.subject.stwSchätzungen_US
dc.subject.stwDeutschlanden_US
dc.titleForecasting Credit Portfolio Risken_US
dc.typeWorking Paperen_US
dc.identifier.ppn391295780en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp2:2227-
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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