Estimation of Default Probabilities and Default Correlations

Stefan Huschens, Konstantin Vogl and Robert Wania
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Robert Wania: Technische Universität Dresden

A chapter in Risk Management, 2005, pp 239-258 from Springer

Abstract: Abstract This paper provides estimators for the default probability and default correlation for a portfolio of obligors. Analogously to rating classes, homogeneous groups of obligors are considered. The estimations are made in a general Bernoulli mixture model with a minimum of assumptions and in a single-factor model. The first case is treated with linear distribution-free estimators and the second case with the maximum-likelihood method. All problems are viewed from different points of origin to address a variety of practical questions.

Keywords: Credit Risk; Default Probability; Solvency Variable; Banking Supervision; Basel Committee (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-26993-9_12

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DOI: 10.1007/3-540-26993-2_12

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