EconPapers    
Economics at your fingertips  
 

The Importance of Estimation Uncertainty in a Multi-Rating Class Loan Portfolio

Henry Dannenberg ()

No 11/2011, IWH Discussion Papers from Halle Institute for Economic Research (IWH)

Abstract: 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 rating classes used, number of debtors and number of historical periods used for parameter estimations. In addition, by using an exemplary portfolio based on Moody's ratings, it becomes clear that estimation uncertainty does indeed have an effect on interest rates.

Keywords: credit portfolio risk; estimation uncertainty; bootstrapping; economic equity; Kreditrisikobewertung; Schätzunsicherheit; Bootstrapping; ökonomisches Eigenkapital (search for similar items in EconPapers)
JEL-codes: C15 D81 G11 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/52396/1/671000764.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:iwhdps:iwh-11-11

Access Statistics for this paper

More papers in IWH Discussion Papers from Halle Institute for Economic Research (IWH) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2021-03-28
Handle: RePEc:zbw:iwhdps:iwh-11-11