Showing 1 - 10 of 68
Persistent link: https://www.econbiz.de/10003772466
The risk of bad debt losses evolves for companies which grant payment targets. Possible losses have to be covered by these companies equity and liquidity reserves. The question of how to quantify the level of risk of bad debt losses will be discussed in this paper. Input values of this risk are...
Persistent link: https://www.econbiz.de/10003328080
Persistent link: https://www.econbiz.de/10003329102
Bei der Kreditrisikobewertung müssen die Parameter Ausfallwahrscheinlichkeit und korrelation geschätzt werden. Diese Schätzung erfolgt unter Unsicherheit. In der Literatur werden asymptotische Konfidenzregionen diskutiert, um diese Unsicherheit bei der simultanen Schätzung beider Parameter...
Persistent link: https://www.econbiz.de/10003825755
Persistent link: https://www.econbiz.de/10003871506
The use of probability of default estimates to assess the risks of a credit portfolio should not ignore estimation uncertainty. The latter can be quantified by confidence intervals. But assumptions about dependencies of these intervals are inconsistent with assumptions of conventional credit...
Persistent link: https://www.econbiz.de/10003471812
Persistent link: https://www.econbiz.de/10009533282
Persistent link: https://www.econbiz.de/10003248336
This article seeks to make an assessment of estimation uncertainty in a multi-rating class loan portfolio. Relationships are established between estimation uncertainty and parameters such as probability of default, intra- and inter-rating class correlation, degree of inhomogeneity, number of...
Persistent link: https://www.econbiz.de/10009348119
Persistent link: https://www.econbiz.de/10011712892