Objective:
We consider the following problem from credit risk modeling: Our sample (Xi; Yi), 1 < i < n, consists of pairs of variables. The first variable Xi measures the creditworthiness of individual i. The second variable Yi is the default indicator of individual i. It has two states: Yi = 1 indicates a default, Yi = 0 a non-default. A default occurs, if individual i cannot meet its contractual credit obligations, i. e. it cannot pay back its outstandings regularly. In afirst step, our objective is to estimate the threshold between good and bad creditworthiness in the sense of dividing the range of Xi into two rating classes: One class with good creditworthiness and a low probability of default and another class with bad creditworthiness and a high probability of default.
Methods:
Given observations of individual creditworthiness Xi and defaults Yi, the field of change point analysis provides a natural way to estimate the breakpoint between the rating classes. In order to account for dependency between the observations, the literature proposes a combination of three model classes: These are a breakpoint model, a linear one-factor model for the creditworthiness Xi, and a Bernoulli mixture model for the defaults Yi. We generalize the dependency structure further and use a generalized link between systematic factor and idiosyncratic factor of creditworthiness. So the systematic factor cannot only change the location, but also the form of the distribution of creditworthiness.
Results:
For the case of two rating classes, we propose several estimators for the breakpoint and for the default probabilities within the rating classes. We prove the strong consistency of these estimators in the given non-i.i.d. framework. The theoretical results are illustrated by a simulation study. Finally, we give an overview of research opportunities.
| Identifer | oai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:30250 |
| Date | 30 March 2017 |
| Creators | Tillich, Daniel, Lehmann, Christoph |
| Publisher | Technische Universität Dresden |
| Source Sets | Hochschulschriftenserver (HSSS) der SLUB Dresden |
| Language | German |
| Detected Language | English |
| Type | doc-type:book, info:eu-repo/semantics/book, doc-type:Text |
| Source | Dresdner Beiträge zu Quantitativen Verfahren |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | urn:nbn:de:bsz:14-qucosa-222671, qucosa:30256 |
Page generated in 0.0023 seconds