Arbeitspapier
From Fault Tree to Credit Risk Assessment: A Case Study
Reliability has been largely applied to industrial systems in order to study the various possibilities of systems’ failure. The goal is to establish the chain of events leading to any system’s failure, namely the top event. Looking for the minimal paths leading to any system’s fault allows for a better control of systems’ safety. To this end, reliability is composed of a static approach as well as a dynamic approach. In this paper, we extend the canonical framework allowing for the application of fault tree theory to credit risk assessment. The author explains that fault tree is one alternative approach of reliability, which matches default risk analysis in a simple framework. Our extension includes other distributions of probability to model the lifetimes of French firms while studying the related empirical default probabilities. We use mainly, but not exclusively, continuous distributions. Our results exhibit both the exponential nature of French .rms. lifetimes as well as strong convex and fast decreasing time varying failure rates. Such a feature has some non-negligible impact insofar as it characterizes corresponding credit spreads’ Term structure.
- Sprache
-
Englisch
- Erschienen in
-
Series: EERI Research Paper Series ; No. 5/2004
- Klassifikation
-
Wirtschaft
- Thema
-
Credit risk
default probability
failure rate
fault tree
reliability
survival
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gatfaoui, Hayette
- Ereignis
-
Veröffentlichung
- (wer)
-
Economics and Econometrics Research Institute (EERI)
- (wo)
-
Brussels
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Gatfaoui, Hayette
- Economics and Econometrics Research Institute (EERI)
Entstanden
- 2004
Ähnliche Objekte (12)
Risk assessment of ice dams for water diversion projects based on fuzzy fault trees
Automated fault tree analysis by composition of type-annotated component fault trees
Advanced use of fault trees
Formal Safety Assessment of a Marine Seismic Survey Vessel Operation, Incorporating Risk Matrix and Fault Tree Analysis
Rating agencies and sovereign credit risk assessment
Credit risk assessment and executives’ legal expertise
Failure diagnosis and fault tree analysis
The bayesian additive classification tree applied to credit risk modelling
The Bayesian Additive Classification Tree Applied to Credit Risk Modelling
Using cutting-edge tree-based stochastic models to predict credit risk
Dynamic fault trees: semantics, analysis and applications
Probabilistic Fault Tree Synthesis using Causality Computation
Risk assessment of ice dams for water diversion projects based on fuzzy fault trees
Automated fault tree analysis by composition of type-annotated component fault trees
Advanced use of fault trees
Formal Safety Assessment of a Marine Seismic Survey Vessel Operation, Incorporating Risk Matrix and Fault Tree Analysis
Rating agencies and sovereign credit risk assessment
Credit risk assessment and executives’ legal expertise
Failure diagnosis and fault tree analysis
The bayesian additive classification tree applied to credit risk modelling
The Bayesian Additive Classification Tree Applied to Credit Risk Modelling
Using cutting-edge tree-based stochastic models to predict credit risk
Dynamic fault trees: semantics, analysis and applications
Probabilistic Fault Tree Synthesis using Causality Computation
Risk assessment of ice dams for water diversion projects based on fuzzy fault trees
Automated fault tree analysis by composition of type-annotated component fault trees
Advanced use of fault trees
Formal Safety Assessment of a Marine Seismic Survey Vessel Operation, Incorporating Risk Matrix and Fault Tree Analysis
Rating agencies and sovereign credit risk assessment
Credit risk assessment and executives’ legal expertise
Failure diagnosis and fault tree analysis
The bayesian additive classification tree applied to credit risk modelling
The Bayesian Additive Classification Tree Applied to Credit Risk Modelling
Using cutting-edge tree-based stochastic models to predict credit risk
Dynamic fault trees: semantics, analysis and applications