Publikation: Dissertationsschrift

Modeling default probability in credit portfolios

Grunddaten
Link
Abstract
Autoren
Einrichtung

Grunddaten

Titel	Modeling default probability in credit portfolios
Untertitel	evidence based on debt securities issuers in Germany
Erscheinungsjahr	2016
Verlag	Universität Rostock
Verlagsort	Rostock
Publikationsform	Elektronische Ressource
Publikationsart	Dissertationsschrift
Sprache	Englisch
Letzte Änderung	15.05.2019 21:19:58
Bearbeitungsstatus	durch UB Rostock abschließend validiert
Dauerhafte URL	http://purl.uni-rostock.de/fodb/pub/55123
Links zu Katalogen

Abstract

Implementation of reliable rating systems for small credit portfolio is hindered by non-observed default events in databases and short time series of data available. In this study we propose an approach to handle those two challenges while developing rating systems. We further extend the approach by estimating systematic risk, that is, co-movements of creditworthiness of debt securities' issuers over time. Based on financial information from the PSVaG's debt securities portfolio, we could show that including a systematic risk component significantly increase the model accuracy.

Autor

Labi, Lavri

Externer Link

Beschreibung	Link
Link zur Online-Ressource (kostenfrei zugänglich ohne Registrierung)	http://rosdok.uni-rostock.de/resolve/urn/urn:nbn:de:gbv:28-diss2017-0122-9

Einrichtung

Wirtschafts- und Sozialwissenschaftliche Fakultät (WSF)