Arbeitspapier
Incorporating prediction and estimation risk in point-in-time credit portfolio models
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 probability of default or asset correlation are not available, and usually have to be estimated using historical data. The incorporation of prediction and estimation risk generally leads to broader loss distributions and therefore to rising values of risk parameters such as Value at Risk or Expected Shortfall. The level of economic capital required may be strongly underestimated if prediction and estimation risk are ignored.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 2 ; No. 2005,13
- Klassifikation
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
probability of default
credit risk
default correlation
asset correlation
point in time
value at risk
estimation risk
Kreditrisiko
Portfolio-Management
Schätzung
Statistischer Fehler
Prognoseverfahren
Value at Risk
Theorie
Deutschland
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hamerle, Alfred
Knapp, Michael
Liebig, Thilo
Wildenauer, Nicole
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hamerle, Alfred
- Knapp, Michael
- Liebig, Thilo
- Wildenauer, Nicole
- Deutsche Bundesbank
Entstanden
- 2005
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