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.
| Identifer | oai:union.ndltd.org:DRESDEN/oai:qucosa.de:bsz:14-qucosa-222601 |
| Date | 30 March 2017 |
| Creators | Tillich, Daniel |
| Contributors | Technische Universität Dresden, Fakultät Wirtschaftswissenschaften, Technische Universität Dresden, Fakultät Wirtschaftswissenschaften |
| Publisher | Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden |
| Source Sets | Hochschulschriftenserver (HSSS) der SLUB Dresden |
| Language | deu |
| Detected Language | English |
| Type | doc-type:book |
| Format | application/pdf |
| Relation | dcterms:isPartOf:Dresdner Beiträge zu Quantitativen Verfahren ; 67/17 |
Page generated in 0.0023 seconds