Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und einem asymptotischen Ansatz
Credit risk assessment requires both probability of default and correlation to be estimated. However, such estimation is subject to uncertainty. In order to assess the uncertainty affecting the simultaneous estimation of both parameters, the discussion in literature focuses on the use of asymptotic confidence regions. However, such regions need a very long credit history to allow such assessment to be exact. Bootstrapping represents an alternative method where the data history is short. But this method gives rise to noticeably more intense calculation work. The present article examines the minimum number of periods that must be available in order that bootstrapping and a Wald confidence region permit a comparable assessment of the credit risk. The methods applied here generate similar results where more than 100 historical periods are available.
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- 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.
- Jochen Lawrenz, 2008. "Assessing the Estimation Uncertainty of Default Probabilities," Credit and Capital Markets, Credit and Capital Markets, vol. 41(2), pages 217–238.
- 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.
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