Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/70442 
Autor:innen: 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
CAE Working Paper No. 09-12
Verlag: 
Cornell University, Center for Analytical Economics (CAE), Ithaca, NY
Zusammenfassung: 
Dependence among defaults both across assets and over time has proven to be an important characteristic of financial risk. A Bayesian approach to default rate estimation is proposed and illustrated using a prior distributions assessed from an experienced industry expert. Two extensions of the binomial model, most common in applications, are proposed. The first allows correlated defaults yet remain consistent with Basel II's asymptotic single-factor model. The second adds temporal correlation in default rates through autocorrelation in the systemic factor. Implications for the predictability of default rates are considered. The single-factor model generates more forecast uncertainty than does the parameter uncertainty. A robustness exercise, weakening the prior on the asset correlation, illustrates that the correlation indicated by the data is much smaller than that specified in the Basel II regulations. The application shows that econometric methods can be useful even when data information is sparse.
Schlagwörter: 
Bayesian inference
Basel II
risk management
prior elicitation
maximum entropy
time series
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
227.18 kB





Publikationen in EconStor sind urheberrechtlich geschützt.