Estimation of Default Probabilities Part 3: Stochastic Default Probabilities: Credit Risk+
9 Pages Posted: 20 Mar 2003
The article provides a detailed analysis of the approach to estimate firms' default probabilities as it is proposed in the Credit Risk+ portfolio model. It is shown that systematic estimation errors occur in the methodology that also carry over to credit portfolio risk management.
Note: The downloadable paper is in German.
JEL Classification: C13, G28
Suggested Citation: Suggested Citation