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Kreditrisikomodelle Mit Kalibrierung der Input-Parameter
Company: University of Applied Sciences of bfi Vienna
Company Url: Click here to open
Year Of Publication: 2004
Month Of Publication: July
Pages: 24
Download Count: 0
View Count: 1152
Comment Num: 0
Language: German
Source: working paper
Who Can Read: Free
Date: 11-22-2012
Publisher: Administrator
Summary
The New Basel Capital Accord (Basel II) allows banks to assess the regulatory
capital related to credit risk. This paper reviews the most important models. First, the
credit migration approach, as proposed by J.P. Morgan with CreditMetrics, is based
on the probability of migration from one rating-class to another, including default,
within a given time horizon. Second, the actuarial approach, as proposed by Credit
Suisse Finaniccal Procucts (CSFP). In this model the defaults follow an exogenous
Poisson process. Third, the model by KMV is based on the asset-value model by
Merton (1974). In this model the default occurs when the asset of the firms falls
below some critical level. Fourth CreditPortfolioView by McKinsey is a model where
default probabilities are conditional on macro-variables.
Finally this paper shows that the input-parameter of the models CreditMetrics and
CreditRisk+ can be calibrated to produce similar results.
WP #3-2004
Author(s)
Schwarz, Robert Sign in to follow this author
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