Estimation of Default Probabilities ­ Part 3: Stochastic Default Probabilities: Credit Risk+

RiskNEWS, 2002

9 Pages Posted: 20 Mar 2003

See all articles by Uwe Wehrspohn

Uwe Wehrspohn

Wehrspohn GmbH & Co. KG; University of Wuerzburg

Abstract

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

Wehrspohn, Uwe, Estimation of Default Probabilities ­ Part 3: Stochastic Default Probabilities: Credit Risk+. RiskNEWS, 2002, Available at SSRN: https://ssrn.com/abstract=370241 or http://dx.doi.org/10.2139/ssrn.370241

Uwe Wehrspohn (Contact Author)

Wehrspohn GmbH & Co. KG ( email )

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

University of Wuerzburg ( email )

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

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