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dc.contributor.authorHamerle, Alfreden
dc.contributor.authorLiebig, Thiloen
dc.contributor.authorRösch, Danielen
dc.date.accessioned2009-01-28T16:02:43Z-
dc.date.available2009-01-28T16:02:43Z-
dc.date.issued2003-
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 2 |x2003,02en
dc.subject.jelG21en
dc.subject.jelC1en
dc.subject.ddc330en
dc.subject.keywordCredit Risken
dc.subject.keywordCredit Ratingsen
dc.subject.keywordProbability of Defaulten
dc.subject.keywordBank Regulationen
dc.subject.stwKreditrisikoen
dc.subject.stwKreditwürdigkeiten
dc.subject.stwWahrscheinlichkeitsrechnungen
dc.subject.stwBasel IIen
dc.subject.stwEigenkapitalvorschriftenen
dc.subject.stwSchätzungen
dc.subject.stwWelten
dc.titleCredit Risk Factor Modeling and the Basel II IRB Approach-
dc.typeWorking Paperen
dc.identifier.ppn391294237en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp2:2226en

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