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Forecasting Probabilities of Default and Loss Rates Given Default in the Presence of Selection

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:
ValueType
10.1057/jors.2012.82DOI
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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