Kreditportfoliomodellierung

The focus of this work is the development of a model framework for a credit portfolio that fully captures the dependencies between default probability, loss rate, and claim amount in the event of default using factors or copulas. Unlike existing literature, the loss rate is presented in a differentiated manner, and the claim amount is integrated into the dependency structure. Since there is empirical evidence for dependencies between the risk parameters and the loss rate and claim amount are only observable in the event of default, an extension of the estimator from Heckman's selection model (1979) is proposed. Additionally, the influence of the dependency structure on the loss distribution of a portfolio is examined.