Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/49318 
Erscheinungsjahr: 
2004
Schriftenreihe/Nr.: 
Technical Report No. 2004,05
Verlag: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Zusammenfassung: 
The risk of a credit portfolio depends crucially on correlations between the prob- ability of default (PD) in different economic sectors. Often, PD correlations have to be estimated from relatively short time series of default rates, and the resulting estimation error hinders the detection of a signal. We present statistical evidence that PD correlations are well described by a (one-)factorial model. We suggest a method of parameter estimation which avoids in a controlled way the underestimation of correlation risk. Empirical evidence is presented that, in the framework of the CreditRisk+ model with integrated correlations, this method leads to an increased reliability of the economic capital estimate.
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
141.53 kB





Publikationen in EconStor sind urheberrechtlich geschützt.