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Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung: Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und einem asymptotischen Ansatz

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  • Henry Dannenberg

Abstract

For credit risk assessment, probability of default and correlation have to be estimated simultaneously. However, these estimates are uncertain. To assess this uncertainty the literature has discussed the use of asymptotic confidence regions. This kind of region though needs a long credit history for exact assessment. An alternative method to generate a confidence region for a short credit history is bootstrapping. Hence, it could be more appropriate to assess estimation uncertainty with bootstrapping than with asymptotic methods if only a short credit history is available. Based on a simulation study, it is analyzed how many periods should be available for assessing credit risk – taking account of estimation uncertainty – if bootstrapping and a Wald confidence region shall achieve similar results. This article shows that more than 100 cycles have to be available for similar results.

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Bibliographic Info

Paper provided by Halle Institute for Economic Research in its series IWH Discussion Papers with number 3.

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Date of creation: Jan 2009
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Handle: RePEc:iwh:dispap:3-09

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Keywords: confidence region; credit portfolio risk; estimation uncertainty; bootstrapping;

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  1. Christensen, Jens H.E. & Hansen, Ernst & Lando, David, 2004. "Confidence sets for continuous-time rating transition probabilities," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2575-2602, November.
  2. Hamerle, Alfred & Knapp, Michael & Liebig, Thilo & Wildenauer, Nicole, 2005. "Incorporating prediction and estimation risk in point-in-time credit portfolio models," Discussion Paper Series 2: Banking and Financial Studies 2005,13, Deutsche Bundesbank, Research Centre.
  3. Jochen Lawrenz, 2008. "Assessing the Estimation Uncertainty of Default Probabilities," Credit and Capital Markets, Credit and Capital Markets, vol. 41(2), pages 217–238.
  4. Miao W. & Gastwirth J.L., 2004. "The Effect of Dependence on Confidence Intervals for a Population Proportion," The American Statistician, American Statistical Association, vol. 58, pages 124-130, May.
  5. Hanson, Samuel & Schuermann, Til, 2006. "Confidence intervals for probabilities of default," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2281-2301, August.
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Cited by:
  1. Henry Dannenberg, 2011. "The Importance of Estimation Uncertainty in a Multi-Rating Class Loan Portfolio," IWH Discussion Papers 11, Halle Institute for Economic Research.

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