Knapp, Michael and Hamerle, Alfred (1999) Multi factor model for determining segment-specific default rates for credit portfolio management. WIRTSCHAFTSINFORMATIK, 41 (2). 138-+. ISSN 0937-6429,
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One of the main preconditions for credit portfolio management is the timely determination of individual of segment-specific credit default rates. Because of intense dependence of the credit default rates on macroeconomic factors the predominating method of assigning average default-rates based on historical data to any segment may lead to fatal misjudgement of the credit-risk. This article describes a multi factor model to determine default rates conditional on the current state of economy and shows variations of the credit value at risk depending on changes of macroeconomic factors.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | ; |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 08 Nov 2022 14:53 |
| Last Modified: | 08 Nov 2022 14:53 |
| URI: | https://pred.uni-regensburg.de/id/eprint/48419 |
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