Estimation of Default Probabilities - Part 5: Integrated Models - the Credit Risk Evaluation Model

RiskNEWS, January 2003

14 Pages Posted: 20 Mar 2003

See all articles by Uwe Wehrspohn

Uwe Wehrspohn

Wehrspohn GmbH & Co. KG; University of Wuerzburg

Abstract

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

Wehrspohn, Uwe, Estimation of Default Probabilities - Part 5: Integrated Models - the Credit Risk Evaluation Model. RiskNEWS, January 2003, Available at SSRN: https://ssrn.com/abstract=370244 or http://dx.doi.org/10.2139/ssrn.370244

Uwe Wehrspohn (Contact Author)

Wehrspohn GmbH & Co. KG ( email )

Nietzschestraße 20
Mannheim, D-68165
Germany
+49 (0) 621 14626754 (Phone)

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

University of Wuerzburg ( email )

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Wuerzburg, Bavaria 97070
Germany
+49 (0)931 / 3184806 (Phone)
+49 (0)931 / 312 95 5 (Fax)

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

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