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Incorporating prediction and estimation risk in point-in-time credit portfolio models

Hamerle, Alfred and Knapp, Michael and Liebig, Thilo and Wildenauer, Nicole (2005) Incorporating prediction and estimation risk in point-in-time credit portfolio models. Deutsche Bundesbank: Discussion Paper: Series 2: Banking and Financial Studies 13/2005, Working Paper, Deutsche Bundesbank, Frankfurt am Main.

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Other URL: http://www.bundesbank.de/download/bankenaufsicht/dkp/200513dkp_b.pdf


In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the time the prediction is made, the prediction is prone to errors. The model parameters for the estimation ...


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Item Type:Monograph (Working Paper)
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Keywords:probability of default; PD; credit risk; default correlation; asset correlation; point in time; value at risk; estimation risk; credit portfolio models; credit risk management
Dewey Decimal Classification:300 Social sciences > 330 Economics
Created at the University of Regensburg:Unknown
Deposited On:24 Oct 2006
Last Modified:26 Aug 2010 10:51
Item ID:403
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