Estimation of Default Probabilities - Part 4: Default Probabilities Through the Business Cycle: Credit Portfolio View
RiskNEWS, November 2002
20 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 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