Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/203221 
Autor:innen: 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
IES Working Paper No. 03/2019
Verlag: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
Zusammenfassung: 
This study provides new insights into banks' credit risk models by exploring features of their credit risk estimates and assessing practicalities of transition matrix estimation and related assumptions. Using a unique dataset of internal credit risk estimates from twelve global A-IRB banks, covering monthly observations on 20,000 North American and EU large corporates over the 2015-2018 time period, the study empirically tests the widely used assumptions of the Markovian property and time homogeneity at a larger scale than previously documented in the literature. The results show that internal credit risk estimates do not satisfy these assumptions as they show evidence of both path-dependency and time heterogeneity. In addition, contradicting previous findings on credit rating agency data, banks tend to revert their rating actions.
Schlagwörter: 
Risk management
credit risk
transition matrices
JEL: 
C12
G12
G21
G32
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
781.96 kB





Publikationen in EconStor sind urheberrechtlich geschützt.