A View into the Past - Efficient Validation of Default Probabilities

RiskNews, pp. 22-27, February 2005

6 Pages Posted: 20 Jun 2005

See all articles by Uwe Wehrspohn

Uwe Wehrspohn

Wehrspohn GmbH & Co. KG; University of Wuerzburg

Abstract

We present a non-asymptotic approach to validate estimates of default probabilities that makes full use of the available information in default data. The results show that large banks do not necessarily have a competitive advantage on middle sized banks or well positioned small insititutes. The results can also be used to derive strategic implications for the data management of banks and rating agencies.

Note: Downloadable document is in German.

Keywords: Default probabilities, validation, credit risk

JEL Classification: C12, C13, C15

Suggested Citation

Wehrspohn, Uwe, A View into the Past - Efficient Validation of Default Probabilities. RiskNews, pp. 22-27, February 2005, Available at SSRN: https://ssrn.com/abstract=744425

Uwe Wehrspohn (Contact Author)

Wehrspohn GmbH & Co. KG ( email )

Nietzschestraße 20
Mannheim, D-68165
Germany
+49 (0) 621 14626754 (Phone)

HOME PAGE: http://www.wehrspohn.info

University of Wuerzburg ( email )

Sanderring 2
Wuerzburg, Bavaria 97070
Germany
+49 (0)931 / 3184806 (Phone)
+49 (0)931 / 312 95 5 (Fax)

HOME PAGE: http://www.fzrm.uni-wuerzburg.de

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