Estimation of Default Probabilities - Part 5: Integrated Models - the Credit Risk Evaluation Model
RiskNEWS, January 2003
14 Pages Posted: 20 Mar 2003
The article describes a new approach to asses firms' and private customers' default proabilities that integrates country risk and macro- and microeconomic dependencies between counterparties. The estimation of default probabilities is presented as a first step in the evaluation of credit portfolio risks and the modeling of dependencies between clients. Consistent estimation techniques are provided and their properties analyzed.
Note: The downloadable paper is in German.
JEL Classification: C13, G28
Suggested Citation: Suggested Citation