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| Author: | Kaiser, U. Szczesny, A. |
| Title: | Ökonometrische Verfahren zur Modellierung von Kreditausfallwahrscheinlichkeiten: Logit- und Probit-Modelle |
| Journal: | Schmalenbachs Zeitschrift für Betriebswirtschaftliche Forschung
2003 : DEC, VOL. 55:8, p. 790-822 |
| Index terms: | Econometric models Credit management Risk management Banking |
| Language: | ger |
| Abstract: | The paper describes simple econometric methods for the analysis of default risk and applies them to a data set obtained from credit files taken from six large German universal banks. The paper focuses on probit and logit models which enable the credit analyst to quantify the default probability of an individual credit. Recent developments in the analysis of panel data are also outlined. Empirical illustrations of the methods facilitate the understanding of the econometric models described in the paper. Numerous suggestions for further reading complete this short walk down the econometric quantification of default risk (original in German). |
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