Estimation of Default Probabilities and Default Correlations

  • Stefan Huschens
  • Konstantin Vogl
  • Robert Wania


This paper provides estimators for the default probability and default correlation for a portfolio of obligors. Analogously to rating classes, homogeneous groups of obligors are considered. The estimations are made in a general Bernoulli mixture model with a minimum of assumptions and in a single-factor model. The first case is treated with linear distribution-free estimators and the second case with the maximum-likelihood method. All problems are viewed from different points of origin to address a variety of practical questions.


Credit Risk Default Probability Solvency Variable Banking Supervision Basel Committee 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer Berlin · Heidelberg 2005

Authors and Affiliations

  • Stefan Huschens
  • Konstantin Vogl
  • Robert Wania
    • 1
  1. 1.Department of Business Management and EconomicsTechnische Universität DresdenGermany

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