Ökonometrische Verfahren zur Modellierung von Kreditausfallwahrscheinlichkeiten: Logit- und Probit-Modelle

Ulrich Kaiser and Andrea Szczesny
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Ulrich Kaiser: University of Southern Denmark
Andrea Szczesny: Johann Wolfgang Goethe-Universität Frankfurt

Schmalenbach Journal of Business Research, 2003, vol. 55, issue 8, 790-822

Abstract: Summary The paper describes simple econometric methods for the analysis of default risk and applies them to a data set obtained from credit files taken from six large German universal banks. The paper focuses on probit and logit models which enable the credit analyst to quantify the default probability of an individual credit. Recent developments in the analysis of panel data are also outlined. Empirical illustrations of 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 default risk.

Keywords: C23; C25; G21; Credit Risk; Default Risk; Logit and Probit Models; Paneldata; Ausfallrisiko; Kreditrisiko; Logit- und Probit-Modelle; Panel-Daten (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/BF03372725

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