Forecasting probabilities of default and loss rates given default in the presence of selection

Rösch, D; Scheule, H

Forecasting probabilities of default and loss rates given default in the presence of selection

Rösch, D Scheule, H

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Publication Type:: Journal Article
Citation:: Journal of the Operational Research Society, 2014, 65 (3), pp. 393 - 407
Issue Date:: 2014-03-01

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Field	Value	Language
dc.contributor.author	Rösch, D	en_US
dc.contributor.author	Scheule, H https://orcid.org/0000-0001-7283-5654	en_US
dc.date.issued	2014-03-01	en_US
dc.identifier.citation	Journal of the Operational Research Society, 2014, 65 (3), pp. 393 - 407	en_US
dc.identifier.issn	0160-5682	en_US
dc.identifier.uri	http://hdl.handle.net/10453/114841
dc.description.abstract	This paper offers a joint estimation approach for forecasting probabilities of default and loss rates given default in the presence of selection. The approach accommodates fixed and random risk factors. An empirical analysis identifies bond ratings, borrower characteristics and macroeconomic information as important risk factors. A portfolio-level analysis finds evidence that common risk measurement approaches may underestimate bank capital by up to 17% relative to the presented model. © 2014 Operational Research Society Ltd. All rights reserved.	en_US
dc.relation.ispartof	Journal of the Operational Research Society	en_US
dc.relation.isbasedon	10.1057/jors.2012.82	en_US
dc.subject.classification	Operations Research	en_US
dc.title	Forecasting probabilities of default and loss rates given default in the presence of selection	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	65	en_US
utslib.for	150203 Financial Institutions (incl. Banking)	en_US
utslib.for	01 Mathematical Sciences	en_US
utslib.for	08 Information and Computing Sciences	en_US
utslib.for	15 Commerce, Management, Tourism and Services	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	3	en_US
pubs.publication-status	Published	en_US
pubs.volume	65	en_US

Abstract:

This paper offers a joint estimation approach for forecasting probabilities of default and loss rates given default in the presence of selection. The approach accommodates fixed and random risk factors. An empirical analysis identifies bond ratings, borrower characteristics and macroeconomic information as important risk factors. A portfolio-level analysis finds evidence that common risk measurement approaches may underestimate bank capital by up to 17% relative to the presented model. © 2014 Operational Research Society Ltd. All rights reserved.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/114841