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Estimation of Default Probabilities ­ Part 3: Stochastic Default Probabilities: Credit Risk+

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2003 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068, Copyright policy )
Authors: Uwe Wehrspohn;

doi: 10.2139/ssrn.370241

Estimation of Default Probabilities ­ Part 3: Stochastic Default Probabilities: Credit Risk+

Abstract

The article provides a detailed analysis of the approach to estimate firms' default probabilities as it is proposed in the Credit Risk+ portfolio model. It is shown that systematic estimation errors occur in the methodology that also carry over to credit portfolio risk management.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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