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Ökonometrische Verfahren zur Modellierung von Kreditausfallwahrscheinlichkeiten: Logit- und Probit-Modelle

  • Kreditausfallwahrscheinlichkeiten
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Summary

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.

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Authors and Affiliations

  1. Faculty of Social Sciences, Dept. of Economics, University of Southern Denmark, Campusvej 55, DK-5230, Odense, Denmark

    Ulrich Kaiser (Associate Professor)

  2. Zentrum für Europäische Wirtschaftsforschung, L 7,1, 68161, Mannheim, Deutschland

    Ulrich Kaiser (Associate Professor)

  3. Lehrstuhl für Betriebswirtschaftslehre, insb. Controlling, Johann Wolfgang Goethe-Universität Frankfurt, Mertonstr. 17, 60054, Frankfurt am Main, Deutschland

    Andrea Szczesny

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  1. Ulrich Kaiser
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  2. Andrea Szczesny
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Dieser Beitrag hat von hilfreichen Kommentaren von Dr. Christian Ernst und Bettina Peters sowie vor allem von Prof. Dr. François Laisney stark profitiert. Zwei anonyme Gutachter sowie zfbf- Schriftleiter Prof. Dr. Dr. h.c. Wolfgang Ballwieser haben durch ihre Anregungen die Qualität dieses Beitrages ebenfalls signifikant erhöht. Ulrich Kaiser dankt der Deutschen Forschungsgemeinschaft für finanzielle Unterstützung im Rahmen des Schwerpunktprogramms „Industrieökonomik und Inputmärkte“ (Projekt PF331/3-3). Beide Autoren sind den am Projekt „Kreditmanagement“ des Center for Financial Studies (CFS) beteiligten Banken und dem CFS für die Bereitstellung der Daten zu Dank verpflichtet. Sämtliche hier vorgestellten Schätzungen wurden am Lehrstuhl für Betriebswirtschaftslehre, insb. Controlling, an der Universität Frankfurt am Main durchgeführt.

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Kaiser, U., Szczesny, A. Ökonometrische Verfahren zur Modellierung von Kreditausfallwahrscheinlichkeiten: Logit- und Probit-Modelle. Schmalenbachs Z betriebswirtsch Forsch 55, 790–822 (2003). https://doi.org/10.1007/BF03372725

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  • DOI: https://doi.org/10.1007/BF03372725

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