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Estimation of Default Probabilities in a Single-Factor Model

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Between Data Science and Applied Data Analysis

Abstract

The default probability is a central parameter of credit risk models and can be estimated by the relative default frequency in a portfolio. The distribution of this estimator is derived in the framework of a single-factor model. For a sample portfolio consisting of 15 rating categories with different default probabilities individual and simultaneous probability intervals are given.

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References

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Authors and Affiliations

  1. Lehrstuhl fur Quantitative Verfahren, insbesondere Statistik, Fakultat Wirtschaftswissenschaften, Technische Universitat Dresden, Mommsenstraße 13, D-01062, Dresden, Germany

    Steffi Hose & Stefan Huschens

Authors
  1. Steffi Hose
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  2. Stefan Huschens
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Editor information

Editors and Affiliations

  1. Department of Information Systems, University of Mannheim, Schloss, 68131, Mannheim, Germany

    Martin Schader

  2. Institute of Decision Theory, University of Karlsruhe, Kaiserstr. 12, 76128, Karlsruhe, Germany

    Wolfgang Gaul

  3. Department of Statistics, University of Rome, Piazzale Aldo Moro, 00185, Rome, Italy

    Maurizio Vichi

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© 2003 Springer-Verlag Berlin Heidelberg

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Hose, S., Huschens, S. (2003). Estimation of Default Probabilities in a Single-Factor Model. In: Schader, M., Gaul, W., Vichi, M. (eds) Between Data Science and Applied Data Analysis. Studies in Classification, Data Analysis, and Knowledge Organization. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-18991-3_62

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  • DOI: https://doi.org/10.1007/978-3-642-18991-3_62

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-40354-8

  • Online ISBN: 978-3-642-18991-3

  • eBook Packages: Springer Book Archive

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