Spelling suggestions: "subject:"egression mit diskontinuitäten"" "subject:"egression mit diskontinuiteten""
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Generalized Modeling and Estimation of Rating Classes and Default Probabilities Considering Dependencies in Cross and Longitudinal SectionTillich, Daniel 30 March 2017 (has links) (PDF)
Our sample (Xit; Yit) consists of pairs of variables. The real variable Xit measures the creditworthiness of individual i in period t. The Bernoulli variable Yit is the default indicator of individual i in period t. The objective is to estimate a credit rating system, i.e. to particularly divide the range of the creditworthiness into several rating classes, each with a homogeneous default risk. The field of change point analysis provides a way to estimate the breakpoints between the rating classes. As yet, the literature only considers models without dependencies or with dependence only in cross section. This contribution proposes multi-period models including dependencies in cross section as well as in longitudinal section. Furthermore, estimators for the model parameters are suggested. The estimators are applied to a data set of a German credit bureau.
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Generalized Modeling and Estimation of Rating Classes and Default Probabilities Considering Dependencies in Cross and Longitudinal SectionTillich, Daniel 30 March 2017 (has links)
Our sample (Xit; Yit) consists of pairs of variables. The real variable Xit measures the creditworthiness of individual i in period t. The Bernoulli variable Yit is the default indicator of individual i in period t. The objective is to estimate a credit rating system, i.e. to particularly divide the range of the creditworthiness into several rating classes, each with a homogeneous default risk. The field of change point analysis provides a way to estimate the breakpoints between the rating classes. As yet, the literature only considers models without dependencies or with dependence only in cross section. This contribution proposes multi-period models including dependencies in cross section as well as in longitudinal section. Furthermore, estimators for the model parameters are suggested. The estimators are applied to a data set of a German credit bureau.
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