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Estimation Uncertainty in Credit Risk Assessment
Company: Halle Institute for Economic Research
Year Of Publication: 2009
Month Of Publication: January
Pages: 30
Download Count: 119
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 5-5-2009
Publisher: Administrator
Summary
For credit risk assessment, probability of default and correlation have to be estimated simultaneously.However, these estimates are uncertain. To assess this uncertainty the literaturehas discussed the use of asymptotic confidence regions. This kind of regionthough needs a long credit history for exact assessment. An alternative method to generatea confidence region for a short credit history is bootstrapping. Hence, it could bemore appropriate to assess estimation uncertainty with bootstrapping than with asymptoticmethods if only a short credit history is available. Based on a simulation study, it isanalyzed how many periods should be available for assessing credit risk – takingaccount of estimation uncertainty – if bootstrapping and a Wald confidence region shallachieve similar results. This article shows that more than 100 cycles have to be availablefor similar result
Author(s)
Dannenberg, Henry Sign in to follow this author
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