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Kreditportfoliomodellierung

Kreditportfoliomodellierung

Brand
Springer Nature
Manufacturer
N/A
Part Number
0
GTIN
9783658121143
Condition
New
Product Description

Im Zentrum dieser Arbeit steht die Entwicklung eines Modellrahmens fr ein Kreditportfolio, welcher die Abhngigkeiten zwischen Ausfallwahrscheinlichkeit, Verlustrate und Forderungshhe bei Ausfall mittels Faktoren bzw. Copulae vollstndig erfasst. Im Gegensatz zur bestehenden Literatur wird dabei die Verlustrate differenziert dargestellt und die Forderungshhe in die Abhngigkeitsstruktur integriert. Da empirische Evidenz fr Abhngigkeiten zwischen den Risikoparametern vorliegt und Verlustrate und Forderungshhe nur bei Ausfall beobachtbar sind, wird eine Erweiterung des Schtzers aus Heckmans Selektionsmodell (1979) vorgeschlagen. Zudem wird der Einfluss der Abhngigkeitsstruktur auf die Verlustverteilung eines Portfolios untersucht.

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