Die Verlustverteilung des unternehmerischen Forderungsausfallrisikos – Eine simulationsbasierte Modellierung
AbstractThe risk of bad debt losses evolves for companies which grant payment targets. Possible losses have to be covered by these companies equity and liquidity reserves. The question of how to quantify the level of risk of bad debt losses will be discussed in this paper. Input values of this risk are the probability of default, exposure at default and loss given default. It is shown how companies can derive probability functions to describe uncertainty and variability for each input value. Based on these probability functions a simulation model is developed to quantify the risk of bad debt losses. Based on an empirical study probability functions for probability of default and loss given default are presented.
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Bibliographic InfoPaper provided by Halle Institute for Economic Research in its series IWH Discussion Papers with number 10.
Date of creation: May 2006
Date of revision:
simulation; risk of bad debt losses; risk assessment;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
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