Estimation of Default Probabilities - Part 1: The Mean Value Model

RiskNEWS, May 2002

12 Pages Posted: 20 Mar 2003

See all articles by Uwe Wehrspohn

Uwe Wehrspohn

Wehrspohn GmbH & Co. KG; University of Wuerzburg

Abstract

The most common method to assess firms' and private customers' default probabilities - the estimation of default probabilites through long term mean default rates, also referred to as the mean value model - is based upon the use of external or internal ratings.

The article provides an evaluation of the properties of the estimation and defines rules for its application that help minimize the estimation error.

Note: The downloadable document is written in German.

JEL Classification: C13, G28

Suggested Citation

Wehrspohn, Uwe, Estimation of Default Probabilities - Part 1: The Mean Value Model. RiskNEWS, May 2002, Available at SSRN: https://ssrn.com/abstract=370221 or http://dx.doi.org/10.2139/ssrn.370221

Uwe Wehrspohn (Contact Author)

Wehrspohn GmbH & Co. KG ( email )

Otterstadter Str. 50
Mannheim, 68219
Germany
062114626754 (Phone)

HOME PAGE: http://www.wehrspohn.de

University of Wuerzburg ( email )

Sanderring 2
Wuerzburg, Bavaria 97070
Germany
+49 (0)931 / 3184806 (Phone)
+49 (0)931 / 312 95 5 (Fax)

HOME PAGE: http://www.fzrm.uni-wuerzburg.de

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