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Ökonometrische Verfahren zur Modellierung von Kreditausfallwahrscheinlichkeiten: Logit- und Probit-Modelle

Author

Listed:
  • Ulrich Kaiser

    (University of Southern Denmark
    Zentrum für Europäische Wirtschaftsforschung)

  • Andrea Szczesny

    (Johann Wolfgang Goethe-Universität Frankfurt)

Abstract

Summary The paper describes simple econometric methods for the analysis of default risk and applies them to a data set obtained from credit files taken from six large German universal banks. The paper focuses on probit and logit models which enable the credit analyst to quantify the default probability of an individual credit. Recent developments in the analysis of panel data are also outlined. Empirical illustrations of the methods facilitate the understanding of the econometric models described in the paper. Numerous suggestions for further reading complete this short walk down the econometric quantification of default risk.

Suggested Citation

  • Ulrich Kaiser & Andrea Szczesny, 2003. "Ökonometrische Verfahren zur Modellierung von Kreditausfallwahrscheinlichkeiten: Logit- und Probit-Modelle," Schmalenbach Journal of Business Research, Springer, vol. 55(8), pages 790-822, December.
    • Handle: RePEc:spr:sjobre:v:55:y:2003:i:8:d:10.1007_bf03372725
    DOI: 10.1007/BF03372725
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    References listed on IDEAS

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    More about this item

    Keywords

    C23; C25; G21;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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