Estimation of Default Probabilities - Part 4: Default Probabilities Through the Business Cycle: Credit Portfolio View

Wehrspohn, Uwe

doi:10.2139/ssrn.370242

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Estimation of Default Probabilities - Part 4: Default Probabilities Through the Business Cycle: Credit Portfolio View

RiskNEWS, November 2002

20 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 Portfolio View model. It is shown that multiple systematic estimation errors and conceptual weaknesses occur in the methodology that prevent the results from being a credible assessment of a firm's default probability and in consequence of a portfolio's credit risk.

Note: The downloadable paper is in German.

JEL Classification: C13, G28

Suggested Citation: Suggested Citation

Wehrspohn, Uwe, Estimation of Default Probabilities - Part 4: Default Probabilities Through the Business Cycle: Credit Portfolio View. RiskNEWS, November 2002, Available at SSRN: https://ssrn.com/abstract=370242 or http://dx.doi.org/10.2139/ssrn.370242