The Cost for the Default of a Loan - Linking Theory and Practice

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.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.identifier.uri	http://hdl.handle.net/2003/4904
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-15021
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

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