Year: 2012
Author: Wolter, Marcus, Rösch, Daniel
Credit and Capital Markets – Kredit und Kapital, Vol. 45 (2012), Iss. 2 : pp. 189–217
Abstract
Multi-Period Loss Forecasting for a Bank Portfolio Composed of German Mid-Sized Enterprise Stocks
This article analyses a comprehensive set of data including annual financial statements and default probability information relating to German small and medium-sized enterprises. This data set, which must be deemed typical of a business-customer credit portfolio of a large bank, is used as basis for developing an enterprise-specific default probability forecasting model. This model permits to identify significant company-specific and macroeconomic risk drivers and to forecast default probability risks over a multi-annual horizon. On the basis of the time-specific modes of behaviour of the default probabilities so ascertained, multi-period portfolio loss distributions have been estimated for bank-specific credit portfolios. The analyses are based on a data set relating to 5,930 German small and mediumsized enterprises. For these enterprises, a total of over 23,000 annual financial statements relating to the period 2002/2007 have been analysed. The results may be used as a basis on which to develop action strategies allowing credit portfolio losses to be more realistically estimated for several periods.
Journal Article Details
Publisher Name: Global Science Press
Language: German
DOI: https://doi.org/10.3790/kuk.45.2.189
Credit and Capital Markets – Kredit und Kapital, Vol. 45 (2012), Iss. 2 : pp. 189–217
Published online: 2012-02
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 29