Schätzunsicherheit oder Korrelation : welche Risikokomponente sollten Unternehmen bei der Bewertung von Kreditportfoliorisiken wann berücksichtigen? / Henry Dannenberg
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Discovery
531244547
URN
urn:nbn:de:gbv:3:2-1027
DOI
ISBN
ISSN
Autorin / Autor
Beiträger
Körperschaft
Erschienen
Halle : Inst. für Wirtschaftsforschung, 2007
Umfang
Online-Ressource (Text, 170 KB)
Ausgabevermerk
Sprache
ger
Anmerkungen
Inhaltliche Zusammenfassung
The use of probability of default estimates to assess the risks of a credit portfolio should not ignore estimation uncertainty. The latter can be quantified by confidence intervals. But assumptions about dependencies of these intervals are inconsistent with assumptions of conventional credit portfolio models. Based on simulation studies this paper shows, that a model which include estimation uncertainty but ignore default correlation might estimate the real credit risk more correctly than a model that implicates default correlation but ignore estimation uncertainty. The latter is a trait of conventional credit portfolio models. In this paper quantifying of estimation uncertainty based on the idea of confidence intervals and the underlying probability distributions of these intervals. -- probability of default ; estimation uncertainty ; risk assessment
Schriftenreihe
IWH-Diskussionspapiere ; 2007,5 ppn:37244492X