- Titel
- Generalized Modeling and Estimation of Rating Classes and Default Probabilities Considering Dependencies in Cross and Longitudinal Section
- Zitierfähige Url:
- https://nbn-resolving.org/urn:nbn:de:bsz:14-qucosa-222601
- Schriftenreihe
- Dresdner Beiträge zu Quantitativen Verfahren
- Bandnummer
- 67/17
- ISSN
- 0945-4802
- Abstract (DE)
- Our sample (Xit; Yit) consists of pairs of variables. The real variable Xit measures the creditworthiness of individual i in period t. The Bernoulli variable Yit is the default indicator of individual i in period t. The objective is to estimate a credit rating system, i.e. to particularly divide the range of the creditworthiness into several rating classes, each with a homogeneous default risk. The field of change point analysis provides a way to estimate the breakpoints between the rating classes. As yet, the literature only considers models without dependencies or with dependence only in cross section. This contribution proposes multi-period models including dependencies in cross section as well as in longitudinal section. Furthermore, estimators for the model parameters are suggested. The estimators are applied to a data set of a German credit bureau.
- Freie Schlagwörter (DE)
- Zeitabhängigkeit, Rating-Klassifizierung, Kreditrisiko, Split-Point, Regression mit Diskontinuitäten
- Freie Schlagwörter (EN)
- time dependence, rating classi cation, credit risk, split-point, regression with discontinuities
- Klassifikation (DDC)
- 330
- Klassifikation (RVK)
- QH 400
- Publizierende Institution
- Technische Universität Dresden, Dresden
- Sonstige beteiligte Institution
- Technische Universität Dresden, Dresden
- URN Qucosa
- urn:nbn:de:bsz:14-qucosa-222601
- Veröffentlichungsdatum Qucosa
- 30.03.2017
- Dokumenttyp
- Buch
- Sprache des Dokumentes
- Deutsch
- Lizenz / Rechtehinweis
