Credit Risk Parameter Modelling in Financial Institutions
eBook - PDF

Credit Risk Parameter Modelling in Financial Institutions

,
  1. 192 pages
  2. English
  3. PDF
  4. Available on iOS & Android
eBook - PDF

Credit Risk Parameter Modelling in Financial Institutions

,

About this book

Die Dissertation "Credit Risk Parameter Modelling in Financial Institutions" beschäftigt sich mit dem Modellieren von Kreditrisikoparametern in Finanzinstituten. Einerseits kann für die Schätzung von Kreditrisikoparametern eine Verbesserung der verwendeten Information erzielt werden, und andererseits kann das Modell oder die Technik zur Schätzung der Parameter selbst verbessert werden. Vor diesem Hintergrund werden in dieser Arbeit drei relevante Forschungsfragen bearbeitet: - Wie können Finanzintermediäre Informationssynergien (engl. economies of scope) zwischen verschiedenen privaten Informationsquellen nutzen, um Kreditrisiko und Kundenbeziehungen zielgerichtet zu steuern?- Wie kann die Wahl eines Kunden für eine bestimmte Ausgestaltung eines Finanzproduktes erklärt werden? Was kann man über den Kunden durch seine Auswahl lernen? Existiert ein Zusammenhang zwischen dem Ausfallrisiko des Kunden und seiner Auswahl?- Wie können Finanzintermediäre eine unverzerrte erwartete Forderungshöhe bei Ausfall modellieren? Welches ist die geeignete Methode um eine solche erwartete Forderungshöhe bei Ausfall zu schätzen?

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Information

Publisher
Cuvillier Verlag
Year
2017
Print ISBN
9783736996960
eBook ISBN
9783736986961
Edition
1

Table of contents

  1. Acknowledgement
  2. Contents
  3. List of Figures
  4. List of Tables
  5. Variables
  6. Abbreviations
  7. 1 Introduction
  8. 2 Institutional Background and Data
  9. 3 Economies of Scope in ConsumerCredit9
  10. 4 Credit Card Systems - US versus EU style
  11. 5 Unbiased Exposure at Default Modeling48
  12. 6 Conclusion
  13. References