Estimation of Default Probabilities  Part 4: Default Probabilities Through the Business Cycle: Credit Portfolio View

Name: Estimation of Default Probabilities Part 4: Default Probabilities Through the Business Cycle: Credit Portfolio View
Creator: Uwe Wehrspohn
Keywords: 8. Economic growth, 1. No poverty

Uwe Wehrspohn

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SSRN Electronic Journal

Article . 2003 . Peer-reviewed

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https://dx.doi.org/10.2139/ssr...

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Estimation of Default Probabilities – Part 4: Default Probabilities Through the Business Cycle: Credit Portfolio View

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2003 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Uwe Wehrspohn;

doi: 10.2139/ssrn.370242

Estimation of Default Probabilities – Part 4: Default Probabilities Through the Business Cycle: Credit Portfolio View

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Abstract

The article provides a detailed analysis of the approach to estimate firms' default probabilities as it is proposed in the Credit Portfolio View model. It is shown that multiple systematic estimation errors and conceptual weaknesses occur in the methodology that prevent the results from being a credible assessment of a firm's default probability and in consequence of a portfolio's credit risk.

Related Organizations

University Hospital Würzburg
Germany
University of Würzburg
Germany

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