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

Hamerle, Alfred ; Knapp, Michael ; Liebig, Thilo ; Wildenauer, Nicole



Abstract

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 of ...

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