Einfache oekonomische Verfahren fuer die Kreditrisikomessung

Ulrich Kaiser () and Andrea Szczesny
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Andrea Szczesny: Center of Finance and Econometrics, http://cofe.uni-konstanz.de

No 00-28, CoFE Discussion Paper from Center of Finance and Econometrics, University of Konstanz

Abstract: This paper describes simple econometric methods for the analysis of credit risk and applies them to a data set obtained from credit files taken from six large German universal banks. The paper focuses on (i) binary and ordered probit/logit models which enable the credit analyst to quantify the default probability of an individual credit, and (ii) on duration models capable of estimating the default probability of a credit at a certain point in time given that there was no default until then. Empirical examples for the methods facilitate the understanding of the econometric models described in the paper. Numerous suggestions for further reading complete this short walk down the econometric quantification of credit risk.

Date: 2000-09
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