Representative longitudinal data for German firms (establishments or enterprises) that can be used for scientific analyses are mainly from two sources, the IAB Establishment Panel and the AFiD-Panel based on surveys performed by the Statistical Offices. This paper compares the data from these...

This paper focuses on the importance data issues to the analysis of growth, poverty and economic inequality. We introduce a number of major databases frequently used in applied research on growth, poverty and global and international inequality. A discussion of data quality, data consistency,...

Neben bereits seit längerer Zeit laufenden Kooperationsprojekten zwischen Statistischen Ämtern und externen Wissenschaftlern sind in jüngster Zeit bei den großen amtlichen Datenproduzenten Forschungsdatenzentren (FDZ) entstanden, die Wissenschaftlern den Zugriff auf Mikrodaten aus...

Dieser Beitrag stellt die seit 2000 in Schmollers Jahrbuch / Journal of Applied Social Science Studies erscheinende Artikelserie European Data Watch vor. Die Beiträge zu dieser Serie stellen Datensätze für Personen und Firmen vor, die von empirisch arbeitenden Wirtschafts- und...

In this paper we present a new approach to incorporate default dependency in intensity-based default risk models. The model uses an arbitrary default dependency structure which is specified by the Copula of the times of default, this is combined with individual intensity-based models for the...

In this paper a new credit risk model for credit derivatives is presented. The model is based upon the ‘Libor market’ modelling framework for default-free interest rates. We model effective default-free forward rates and effective forward credit spreads as lognormal diffusion processes, and...

This paper gives a simple introduction to portfolio credit risk models of the factor model type. In factor models, the dependence between the individual defaults is driven by a small number of systematic factors. When conditioning on the realisation of these factors the defaults become...

In this paper we present a tree model for defaultable bond prices which can be used for the pricing of credit derivatives. The model is based upon the two-factor Hull-White (1994) model for default-free interest rates, where one of the factors is taken to be the credit spread of the defaultable...