Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Sibbertsen, Philipp | de |
dc.contributor.author | Weißbach, Rafael | de |
dc.date.accessioned | 2004-12-06T18:39:23Z | - |
dc.date.available | 2004-12-06T18:39:23Z | - |
dc.date.issued | 2004 | de |
dc.identifier.uri | http://hdl.handle.net/2003/4904 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-15021 | - |
dc.description.abstract | When calculating the cost of entering into a credit transaction the predominant stochastic component is the expected loss. Often in the credit business the one-year probability of default of the liable counterpart is the only reliable parameter. We use this probability to calculating the exact expected loss of trades with multiple cash flows. Assuming a constant hazard rate for the default time of the liable counterpart we show that the methodology used in practice is a linear Taylor approximation of our exact calculus. In a second stage we can generalize the calculation to arbitrary hazard rates for which we prove statistical evidence and develop an estimate from historical data. | en |
dc.format.extent | 223646 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | de |
dc.publisher | Universitätsbibliothek Dortmund | de |
dc.subject.ddc | 310 | de |
dc.title | The Cost for the Default of a Loan - Linking Theory and Practice | en |
dc.type | Text | de |
dc.type.publicationtype | report | en |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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tr33-04.pdf | DNB | 218.4 kB | Adobe PDF | View/Open |
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This item is protected by original copyright
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