Credit risk parameter modelling in financial institutions:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Göttingen
Cuvillier Verlag
2017
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 192 Seiten |
| ISBN: | 9783736996960 3736996969 |
Internformat
MARC
| LEADER | 00000nam a22000008c 4500 | ||
|---|---|---|---|
| 001 | BV044928904 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | t | ||
| 008 | 180503s2017 gw m||| 00||| eng d | ||
| 015 | |a 18,N01 |2 dnb | ||
| 016 | 7 | |a 1149394889 |2 DE-101 | |
| 020 | |a 9783736996960 |c : EUR 49.90 (DE), EUR 51.30 (AT) |9 978-3-7369-9696-0 | ||
| 020 | |a 3736996969 |9 3-7369-9696-9 | ||
| 024 | 3 | |a 9783736996960 | |
| 035 | |a (OCoLC)1035469869 | ||
| 035 | |a (DE-599)DNB1149394889 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 044 | |a gw |c XA-DE-NI | ||
| 049 | |a DE-12 | ||
| 082 | 0 | |a 330 |2 23 | |
| 084 | |a QK 320 |0 (DE-625)141644: |2 rvk | ||
| 084 | |a 330 |2 sdnb | ||
| 100 | 1 | |a Usselmann, Piet |d 1988- |e Verfasser |0 (DE-588)1151533068 |4 aut | |
| 245 | 1 | 0 | |a Credit risk parameter modelling in financial institutions |c Piet Usselmann |
| 264 | 1 | |a Göttingen |b Cuvillier Verlag |c 2017 | |
| 300 | |a 192 Seiten | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |b Dissertation |c Technische Universität Carolo-Wilhelmina zu Braunschweig |d 2017 | ||
| 650 | 0 | 7 | |a Kreditinstitut |0 (DE-588)4165579-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Mathematisches Modell |0 (DE-588)4114528-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kreditrisiko |0 (DE-588)4114309-7 |2 gnd |9 rswk-swf |
| 653 | |a Credit | ||
| 653 | |a Financial Institutions | ||
| 653 | |a Parameter | ||
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Kreditinstitut |0 (DE-588)4165579-5 |D s |
| 689 | 0 | 1 | |a Kreditrisiko |0 (DE-588)4114309-7 |D s |
| 689 | 0 | 2 | |a Risikomanagement |0 (DE-588)4121590-4 |D s |
| 689 | 0 | 3 | |a Mathematisches Modell |0 (DE-588)4114528-8 |D s |
| 689 | 0 | |5 DE-604 | |
| 710 | 2 | |a Eric Cuvillier (Firma) |0 (DE-588)1067137041 |4 pbl | |
| 856 | 4 | 2 | |m DNB Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030322019&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-030322019 | ||
Datensatz im Suchindex
| _version_ | 1804178503326760960 |
|---|---|
| adam_text | XI
CONTENTS
LIST OF
FIGURES.............................................................................................................................XIV
LIST OF
TABLES..............................................................................................
XV
VARIABLES....................................................................................................................................
XVII
ABBREVIATIONS............................................................................................................................XX
1
INTRODUCTION.............................................................................................................................
1
1.1 PROBLEM DEFINITION AND OBJECTIVES O F THIS
THESIS........................................................ 1
1.2 COURSE OF
INVESTIGATION....................................................................................................
5
2 INSTITUTIONAL BACKGROUND AND D
ATA........................................................................................8
2.1 INSTITUTIONAL
BACKGROUND.................................................................................................
8
2.2
DATA................................................................................................................................
12
3 ECONOMIES OF SCOPE IN CONSUMER
CREDIT........................................................................15
3.1 FUNDAMENTALS AND RESEARCH
QUESTIONS.........................................................................15
3.2 CONCEPTUAL FRAMEWORK AND
METHODOLOGY...................................................................20
3.3
DATA................................................................................................................................22
3.4 EMPIRICAL
ANALYSIS.......................................................................................................
27
3.4.1 ACCOUNT ACTIVITY AND CROSS-PRODUCT
INFORMATION..................................................27
3.4.2 CROSS-PRODUCT
INFORMATION....................................................................................36
3.4.3 MONITORING WITH CROSS-PRODUCT INFORMATION BASED ON PROBIT
REGRESSION
MODELS....................................................................................................................39
3.4.4 SCREENING WITH CROSS-PRODUCT INFORMATION BASED ON PROBIT
REGRESSION
MODELS....................................................................................................................40
3.4.5 CONSISTENCY OF
INFORMATION...................................................................................
43
3.4.6 MAGNITUDE OF CROSS-PRODUCT INFORMATION
............................................................
45
3.5 ADDITIONAL EMPIRICAL CHECKS AND ROBUSTNESS
TESTS................................................... 50
3.5.1 CREDIT LINE USAGE AND CREDIT LINE USAGE AT
DEFAULT...........................................50
3.5.1.1
METHODOLOGY....................................................................................................
50
3.5.1.2 CREDIT LINE
USAGE..............................................................................................52
3.5.1.3 CREDIT LINE USAGE AT
DEFAULT.............................................................................
54
3.5.2 ALTERNATIVE DEFINITION OF CREDIT LINE USAGE AT DEFAULT
......................................
59
3.5.3 ALTERNATIVE DEFINITION OF
DEFAULT..........................................................................61
3.5.4 INTERACTION EFFECTS OF CROSS-PRODUCT ACCOUNT ACTIVITY MEASURES
......................
63
3.5.5 ALTERNATIVE FUNCTIONAL FORMS FOR ACCOUNT ACTIVITY VARIABLES
...........................
63
3.5.6 IMPACT OF THE RECENT FINANCIAL CRISIS
..................................................................
63
3.6 INTERIM
RESULTS.................................................................................................................64
4 CREDIT CARD SYSTEMS - US VERSUS EU
STYLE.........................................................................66
4.1 FUNDAMENTALS AND RESEARCH
QUESTIONS........................................................................66
4.2 LITERATURE
REVIEW..........................................................................................................69
4.3 INSTITUTIONAL BACKGROUND, DATA AND
METHODOLOGY...................................................... 78
4.3.1 INSTITUTIONAL BACKGROUND
..........................................
78
4.3.2 D
ATA........................................................................................................................
78
4.3.3
METHODOLOGY..........................................................................................................
85
4.4 EMPIRICAL
ANALYSIS........................................................................................................87
4.4.1 UNIVARIATE EVENT
STUDY..........................................................................................87
4.4.2 MULTIVARIATE
ANALYSIS............................................................................................
92
4.4.2.1 ANALYSIS OF PROBABILITY O F
DEFAULT.................................................................
92
4.4.2.2 ANALYSIS OF CREDIT LINE USAGE
......................................................................
99
4.4.2.3 ANALYSIS OF CREDIT LINE USAGE AT DEFAULT
....................................................
101
4.4.3 CHANGE OF REDEMPTION TYPE.
XIII
4.5 INTERIM
RESULT...............................................................................................................
I L L
5 UNBIASED EXPOSURE AT DEFAULT
MODELING...........................................................................
113
5.1 FUNDAMENTALS AND RESEARCH
QUESTIONS......................................................................
113
5.2 LITERATURE
REVIEW........................................................................................................115
5.3 THEORETICAL ANALYSIS OF CCF
FORECASTS.......................................................................
118
5.3.1 VARIABLE
DESCRIPTION...........................................................................................
118
5.3.2 THE M
ODEL............................................................................................................119
5.3.3 OVERVIEW OF CCF
APPROACHES.............................................................................
122
5.4 EMPIRICAL
ANALYSIS........................................................................................................125
5.4.1 VARIABLE
DESCRIPTION...........................................................................................
125
5.4.2 DATA
DESCRIPTION...................................................................................................126
5.4.3 EMPIRICAL STRATEGY
...............................................................................................
129
5.4.4 COMPARISON OF DIFFERENT
PARAMETERS.....................................................................133
5.4.5 COMPARISON O F DIFFERENT ESTIMATION APPROACHES EVALUATED AT THE
CCF
LEVEL.....................................................................................................................
141
5.4.6 COMPARISON OF DIFFERENT ESTIMATION APPROACHES EVALUATED AT THE EL
LEVEL. 143
5.5 INTERIM
RESULTS.............................................................................................................149
5.6
APPENDIX.....................................................................................................................
150
5.6.1 PROOF OF THE
PROPOSITION.......................................................................................
150
6
CONCLUSION..........................................................................................................................
152
REFERENCES..................................................................................................................................
157
|
| any_adam_object | 1 |
| author | Usselmann, Piet 1988- |
| author_GND | (DE-588)1151533068 |
| author_facet | Usselmann, Piet 1988- |
| author_role | aut |
| author_sort | Usselmann, Piet 1988- |
| author_variant | p u pu |
| building | Verbundindex |
| bvnumber | BV044928904 |
| classification_rvk | QK 320 |
| ctrlnum | (OCoLC)1035469869 (DE-599)DNB1149394889 |
| dewey-full | 330 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330 |
| dewey-search | 330 |
| dewey-sort | 3330 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02106nam a22005418c 4500</leader><controlfield tag="001">BV044928904</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">180503s2017 gw m||| 00||| eng d</controlfield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">18,N01</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">1149394889</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783736996960</subfield><subfield code="c">: EUR 49.90 (DE), EUR 51.30 (AT)</subfield><subfield code="9">978-3-7369-9696-0</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">3736996969</subfield><subfield code="9">3-7369-9696-9</subfield></datafield><datafield tag="024" ind1="3" ind2=" "><subfield code="a">9783736996960</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1035469869</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)DNB1149394889</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">XA-DE-NI</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-12</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">330</subfield><subfield code="2">23</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 320</subfield><subfield code="0">(DE-625)141644:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">330</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Usselmann, Piet</subfield><subfield code="d">1988-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)1151533068</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Credit risk parameter modelling in financial institutions</subfield><subfield code="c">Piet Usselmann</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Göttingen</subfield><subfield code="b">Cuvillier Verlag</subfield><subfield code="c">2017</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">192 Seiten</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="502" ind1=" " ind2=" "><subfield code="b">Dissertation</subfield><subfield code="c">Technische Universität Carolo-Wilhelmina zu Braunschweig</subfield><subfield code="d">2017</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kreditinstitut</subfield><subfield code="0">(DE-588)4165579-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Mathematisches Modell</subfield><subfield code="0">(DE-588)4114528-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kreditrisiko</subfield><subfield code="0">(DE-588)4114309-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Credit</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Financial Institutions</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Parameter</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Kreditinstitut</subfield><subfield code="0">(DE-588)4165579-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Kreditrisiko</subfield><subfield code="0">(DE-588)4114309-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Mathematisches Modell</subfield><subfield code="0">(DE-588)4114528-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="710" ind1="2" ind2=" "><subfield code="a">Eric Cuvillier (Firma)</subfield><subfield code="0">(DE-588)1067137041</subfield><subfield code="4">pbl</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">DNB Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030322019&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-030322019</subfield></datafield></record></collection> |
| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV044928904 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T08:05:00Z |
| institution | BVB |
| institution_GND | (DE-588)1067137041 |
| isbn | 9783736996960 3736996969 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030322019 |
| oclc_num | 1035469869 |
| open_access_boolean | |
| owner | DE-12 |
| owner_facet | DE-12 |
| physical | 192 Seiten |
| publishDate | 2017 |
| publishDateSearch | 2017 |
| publishDateSort | 2017 |
| publisher | Cuvillier Verlag |
| record_format | marc |
| spelling | Usselmann, Piet 1988- Verfasser (DE-588)1151533068 aut Credit risk parameter modelling in financial institutions Piet Usselmann Göttingen Cuvillier Verlag 2017 192 Seiten txt rdacontent n rdamedia nc rdacarrier Dissertation Technische Universität Carolo-Wilhelmina zu Braunschweig 2017 Kreditinstitut (DE-588)4165579-5 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Credit Financial Institutions Parameter (DE-588)4113937-9 Hochschulschrift gnd-content Kreditinstitut (DE-588)4165579-5 s Kreditrisiko (DE-588)4114309-7 s Risikomanagement (DE-588)4121590-4 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Eric Cuvillier (Firma) (DE-588)1067137041 pbl DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030322019&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Usselmann, Piet 1988- Credit risk parameter modelling in financial institutions Kreditinstitut (DE-588)4165579-5 gnd Mathematisches Modell (DE-588)4114528-8 gnd Risikomanagement (DE-588)4121590-4 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4165579-5 (DE-588)4114528-8 (DE-588)4121590-4 (DE-588)4114309-7 (DE-588)4113937-9 |
| title | Credit risk parameter modelling in financial institutions |
| title_auth | Credit risk parameter modelling in financial institutions |
| title_exact_search | Credit risk parameter modelling in financial institutions |
| title_full | Credit risk parameter modelling in financial institutions Piet Usselmann |
| title_fullStr | Credit risk parameter modelling in financial institutions Piet Usselmann |
| title_full_unstemmed | Credit risk parameter modelling in financial institutions Piet Usselmann |
| title_short | Credit risk parameter modelling in financial institutions |
| title_sort | credit risk parameter modelling in financial institutions |
| topic | Kreditinstitut (DE-588)4165579-5 gnd Mathematisches Modell (DE-588)4114528-8 gnd Risikomanagement (DE-588)4121590-4 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Kreditinstitut Mathematisches Modell Risikomanagement Kreditrisiko Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030322019&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT usselmannpiet creditriskparametermodellinginfinancialinstitutions AT ericcuvillierfirma creditriskparametermodellinginfinancialinstitutions |