Estimation of rating classes and default probabilities in credit risk models with dependencies

DOI10.1002/ASMB.2089MaRDI QIDQ4620127zbMATH OpenOpenAlexFDO

Authors Daniel Tillich, Dietmar Ferger

Publication date 8 February 2019

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.2089

zbMATH Keywords

strong consistencychange pointdependencemixture modeldefault probabilityregression with jumprating class

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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(7)

• Checking default correlation and score correlation in a breakpoint model for rating classification
• scientific article; zbMATH DE number 5280213 (Why is no real title available?)
• Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence
• Modeling dependencies between rating categories and their effects on prediction in a credit risk portfolio
• Numerical estimates of risk factors contingent on credit ratings
• Statistical models for the Basel II internal ratings-based approach to measuring credit risk of retail products
• An improved approach to evaluate default probabilities and default correlations with consistency

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