Estimation of Default Probabilities – Part 5

Topics:
Enterprise Risk Management
Tags:
Business Operations,
Estimation Technique,
Productivity,
Research & Development,
Social Science Electronic Publishing Inc.
Source:
Social Science Electronic Publishing

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Overview: The article describes a new approach to asses firms' and private customers' default proabilities that integrates country risk and macro- and microeconomic dependencies between counterparties. The estimation of default probabilities is presented as a first step in the evaluation of credit portfolio risks and the modeling of dependencies between clients. Consistent estimation techniques are provided and their properties analyzed.

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Format: HTML | Date: Jan 2003 | Pages: 1

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