Artikel
Calibration of Internal Rating Systems: The Case of Dependent Default Events
Kalibrierung interner Ratingsysteme bei korrelierten Ausfallereignissen In dieser Arbeit vergleichen wir vier verschiedene Testverfahren für die Qualität der Kalibrierung interner Ratingsysteme bei korrelierten Ausfallereignissen. Zwei der Ansätze sind approximativer Natur und die anderen zwei stellen Simulationsansätze auf Basis von Einfaktoren- bzw. Mehrfaktorenmodellen dar. Wir finden, dass die Mehrfaktorenmodelle präzisere Ergebnisse in Form niedrigerer, oberer Grenzen der Ausfallraten und engerer Konfidenzintervalle liefern. Für ein Konfidenzniveau von 95% überschätzen die approximativen Ansätze die oberen Grenzen der Ausfallraten. Für niedrige Assetkorrelationen, vor allem für solche unter 0,5%, liefert der Granularitätsansatz keine belastbaren Ergebnisse. Für kleine Portfoliogrößen überschätzen die approximativen Ansätze zudem die oberen Grenzen der Ausfallraten deutlich. Bei einer Anwendung empirischer Faktorkorrelationen finden wir auûerdem, dass die Konfidenzintervalle eines Zweifaktorenmodells im Vergleich zum Einfaktorenmodell erkennbar enger sind.
- Language
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Englisch
- Bibliographic citation
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Journal: Kredit und Kapital ; ISSN: 1865-5734 ; Volume: 40 ; Year: 2007 ; Issue: 4 ; Pages: 527-551
- Classification
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Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Event
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Geistige Schöpfung
- (who)
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Güttler, André
Liedtke, >Helge G.
- Event
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Veröffentlichung
- (who)
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Duncker & Humblot
- (where)
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Berlin
- (when)
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2007
- DOI
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doi:10.3790/ccm.40.4.527
- Last update
- 10.03.2025, 11:45 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
- Artikel
Associated
- Güttler, André
- Liedtke, >Helge G.
- Duncker & Humblot
Time of origin
- 2007
Other Objects (12)
Calibration of Internal Rating Systems: The Case of Dependent Default Events
The effect of credit and rating events on credit default swap and equity markets
The effect of credit and rating events on credit default swap and equity markets
The calibration of rating models : estimation of the probability of default based on advanced pattern classification methods
Does Pooling of Financial Statements and Default Data across Specialized Banks Improve Internal Credit Rating Systems?
Does Pooling of Financial Statements and Default Data across Specialized Banks Improve Internal Credit Rating Systems?
Financial Markets, Sovereign Default and Credit Rating Agencies
Consistency of Banks' Internal Probability of Default Estimates
Internal representation of hierarchical sequences involves the default network
On comparing the accuracy of default predictions in the rating industry
Internal governance and creditor governance: Evidence from credit default swaps
Internal Governance and Creditor Governance: Evidence from Credit Default Swaps
Calibration of Internal Rating Systems: The Case of Dependent Default Events
The effect of credit and rating events on credit default swap and equity markets
The effect of credit and rating events on credit default swap and equity markets
The calibration of rating models : estimation of the probability of default based on advanced pattern classification methods
Does Pooling of Financial Statements and Default Data across Specialized Banks Improve Internal Credit Rating Systems?
Does Pooling of Financial Statements and Default Data across Specialized Banks Improve Internal Credit Rating Systems?
Financial Markets, Sovereign Default and Credit Rating Agencies
Consistency of Banks' Internal Probability of Default Estimates
Internal representation of hierarchical sequences involves the default network
On comparing the accuracy of default predictions in the rating industry
Internal governance and creditor governance: Evidence from credit default swaps
Internal Governance and Creditor Governance: Evidence from Credit Default Swaps
Calibration of Internal Rating Systems: The Case of Dependent Default Events
The effect of credit and rating events on credit default swap and equity markets
The effect of credit and rating events on credit default swap and equity markets
The calibration of rating models : estimation of the probability of default based on advanced pattern classification methods
Does Pooling of Financial Statements and Default Data across Specialized Banks Improve Internal Credit Rating Systems?
Does Pooling of Financial Statements and Default Data across Specialized Banks Improve Internal Credit Rating Systems?
Financial Markets, Sovereign Default and Credit Rating Agencies
Consistency of Banks' Internal Probability of Default Estimates
Internal representation of hierarchical sequences involves the default network
On comparing the accuracy of default predictions in the rating industry
Internal governance and creditor governance: Evidence from credit default swaps