Rösch, Daniel and Scheule, Harald (2014) Forecasting Probabilities of Default and Loss Rates Given Default in the Presence of Selection. Journal of the Operational Research Society 65 (3), pp. 393-407.
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Abstract
This paper offers a joint estimation approach for forecasting probabilities of default and loss rates given default in the presence of selection. The approach accommodates fixed and random risk factors. An empirical analysis identifies bond ratings, borrower characteristics and macroeconomic information as important risk factors. A portfolio-level analysis finds evidence that common risk measurement approaches may underestimate bank capital by up to 17% relative to the presented model.
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| Item type: | Article | ||||
|---|---|---|---|---|---|
| Date: | 2014 | ||||
| Institutions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch) | ||||
| Identification Number: |
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| Keywords: | credit risk; correlation; probability of default; loss given default; recovery; tobit model | ||||
| Dewey Decimal Classification: | 300 Social sciences > 330 Economics | ||||
| Status: | Published | ||||
| Refereed: | Yes, this version has been refereed | ||||
| Created at the University of Regensburg: | No | ||||
| Item ID: | 28306 |
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