Holdings: Credit risk parameter modelling in financial institutions

Credit risk parameter modelling in financial institutions:

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Bibliographic Details
Main Author:	Usselmann, Piet 1988- (Author)
Format:	Thesis Book
Language:	English
Published:	Göttingen Cuvillier Verlag 2017
Subjects:	Kreditinstitut Mathematisches Modell Risikomanagement Kreditrisiko Credit Financial Institutions Parameter Hochschulschrift
Online Access:	Inhaltsverzeichnis
Physical Description:	192 Seiten
ISBN:	9783736996960 3736996969

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MARC


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Record in the Search Index

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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-
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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
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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

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