Ein verbandstheoretisches Modell zur Prognose von Kreditausfallwahrscheinlichkeiten

Fakler, Petra (2007) Ein verbandstheoretisches Modell zur Prognose von Kreditausfallwahrscheinlichkeiten. PhD thesis.

Abstract

Quantifiying the risk of credits and satisfying the resulting minimum capital standards is one of the major challenges in credit banking. In the view of Basel II, it is possible to reduce the minimum capital requirements by the use of apropriate assessments of risk. In the work at hand, we present a model to compute the probability of default and to classify loans. The model is based on a lattice theoretic approach, which analyzes the structure of properties in different credit classes and permits the creation of an interpretable body of rules. Furthermore, this procedure generates an elementary decomposition of loans into different borrower grades, which is necessary when the internal ratings--based approach (IRB--Approach) is used. Using empirical probabilities, acquired from real--world data, it is possible to assess the resulting borrower grades. To validate the whole model, the problem is also solved using different established classification models, and results are compared with the lattice theoretic approach. Furthermore, the generalization ability of all models is examined by transferring the models to another loan collective. Finally, the lattice theory based model is tested on some other building association specific problems.


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Deposit Information:
ZAIK Number: zaik2007-538
Depositing User: Petra Fakler
Date Deposited: 28 Mar 2007 00:00
Last Modified: 19 Dec 2011 09:44
URI: http://e-archive.informatik.uni-koeln.de/id/eprint/538