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Advanced Dependency Modeling in Credit Risk - Lessons for Loss Given Default, Lifetime Expected Loss and Bank Capital Requirements

Krüger, Steffen (2017) Advanced Dependency Modeling in Credit Risk - Lessons for Loss Given Default, Lifetime Expected Loss and Bank Capital Requirements. PhD, Universität Regensburg.

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Date of publication of this fulltext: 06 Sep 2017 13:54

Abstract (German)

This cumulative thesis contributes to the literature on credit risk modeling and focuses on comovements of risk parameters that intensify losses during recessions. The models provide more precise estimates of credit risk and a better understanding of systematic risk. This can improve risk-based capital reserves and can help to avoid a severe underestimation of risk and capital shortfalls in ...

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Translation of the abstract (German)

Diese kumulative Arbeit stellt eine Erweiterung der Literatur zur Kreditrisikomodellierung dar. Sie beschäftigt sich insbesondere mit Abhängigkeiten von Risikoparametern, welche zur Erhöhung von Kreditverlusten in Krisenzeiten beitragen. Die vorgestellten Modelle ermöglichen eine genauere Einschätzung von Kreditrisiken und ein verbessertes Verständnis systematischer Risiken. Mithilfe der ...

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Item type:Thesis of the University of Regensburg (PhD)
Date:6 September 2017
Referee:Prof. Dr. Daniel Rösch
Date of exam:23 August 2017
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Classification:
NotationType
C51Journal of Economics Literature Classification
G20Journal of Economics Literature Classification
G28Journal of Economics Literature Classification
Keywords:credit risk, resolution time, dependency, downturn, lifetime expected loss, loss given default, probability of default
Dewey Decimal Classification:300 Social sciences > 310 General statistics
300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:36145
Owner only: item control page

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