Arbeitspapier
Annual default rates are probably less then long-run average annual default rates
Banks using either the Foundation or Advanced option of the Internal Ratings Based approach to credit risk under Basel II must estimate long-run annual average default probabilities for buckets of homogeneous assets. The one-factor model underlying the capital calculations in Basel II has implications for the distribution of average (across assets) default rates over time. One of these implications is that the average default rate in any period is probably smaller than the overall average default rate (over time and assets). The lesson for practioners is that the short-term default experience of new, very safe assets is likely to underpredict the true long-run default rate for these assets.
- Language
-
Englisch
- Bibliographic citation
-
Series: CAE Working Paper ; No. 08-03
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Kiefer, Nicholas M.
- Event
-
Veröffentlichung
- (who)
-
Cornell University, Center for Analytical Economics (CAE)
- (where)
-
Ithaca, NY
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kiefer, Nicholas M.
- Cornell University, Center for Analytical Economics (CAE)
Time of origin
- 2008
Other Objects (12)
Implied fractional hazard rates and default risk distributions
Loss Given Default - Modelle zur Schätzung von Recovery Rates
Loss Given Default-Modelle zur Schätzung von Recovery Rates
Interest rate swaps and corporate default
Estimating default and recovery rate correlations
Default probabilities and default correlations
To Default or Not to Default?
Default dependence: The equity default relationship
Probability of default and default correlations
Default rates in the loan market for SMEs: Evidence from Slovakia
Correlated defaults, temporal correlation, expert information and predictability of default rates
Default Rates in the Loan Market for SMEs: Evidence from Slovakia
Implied fractional hazard rates and default risk distributions
Loss Given Default - Modelle zur Schätzung von Recovery Rates
Loss Given Default-Modelle zur Schätzung von Recovery Rates
Interest rate swaps and corporate default
Estimating default and recovery rate correlations
Default probabilities and default correlations
To Default or Not to Default?
Default dependence: The equity default relationship
Probability of default and default correlations
Default rates in the loan market for SMEs: Evidence from Slovakia
Correlated defaults, temporal correlation, expert information and predictability of default rates
Default Rates in the Loan Market for SMEs: Evidence from Slovakia
Implied fractional hazard rates and default risk distributions
Loss Given Default - Modelle zur Schätzung von Recovery Rates
Loss Given Default-Modelle zur Schätzung von Recovery Rates
Interest rate swaps and corporate default
Estimating default and recovery rate correlations
Default probabilities and default correlations
To Default or Not to Default?
Default dependence: The equity default relationship
Probability of default and default correlations
Default rates in the loan market for SMEs: Evidence from Slovakia
Correlated defaults, temporal correlation, expert information and predictability of default rates