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dc.contributor.authorHamerle, Alfreden
dc.contributor.authorLiebig, Thiloen
dc.contributor.authorScheule, Haralden
dc.date.accessioned2009-01-28T16:02:43Z-
dc.date.available2009-01-28T16:02:43Z-
dc.date.issued2004-
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 2 |x2004,01en
dc.subject.jelC41en
dc.subject.jelG21en
dc.subject.jelC23en
dc.subject.ddc330en
dc.subject.keywordasset correlationen
dc.subject.keywordbank regulationen
dc.subject.keywordBasel IIen
dc.subject.keywordcredit risken
dc.subject.keyworddefault correlationen
dc.subject.keyworddefault probabilityen
dc.subject.keywordlogit modelen
dc.subject.keywordprobit modelen
dc.subject.stwKreditrisikoen
dc.subject.stwPortfolio-Managementen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwMakroökonomischer Einflussen
dc.subject.stwSchätzungen
dc.subject.stwDeutschlanden
dc.titleForecasting Credit Portfolio Risk-
dc.typeWorking Paperen
dc.identifier.ppn391295780en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp2:2227en

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