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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Model Uncertainty and Aggregated Default Probabilities: New Evidence from Austria

Hofmarcher, Paul, Kerbl, Stefan, Grün, Bettina, Sigmund, Michael, Hornik, Kurt 01 1900 (has links) (PDF)
Understanding the determinants of aggregated default probabilities (PDs) has attracted substantial research over the past decades. This study addresses two major difficulties in understanding the determinants of aggregate PDs: Model uncertainty and multicollinearity among the regressors. We present Bayesian Model Averaging (BMA) as a powerful tool that overcomes model uncertainty. Furthermore, we supplement BMA with ridge regression to mitigate multicollinearity. We apply our approach to an Austrian dataset. Our findings suggest that factor prices like short term interest rates and energy prices constitute major drivers of default rates, while firms' profits reduce the expected number of failures. Finally, we show that the results of our baseline model are fairly robust to the choice of the prior model size. / Series: Research Report Series / Department of Statistics and Mathematics

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