Credit Risk Parameter Modelling in Financial Institutions (English shop)

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The dissertation “Credit Risk Parameter Modelling in Financial Institutions” deals with the modelling of credit risk parameters in financial institutions. On the one hand, the information used for estimating credit risk parameters can be improved; on the other hand, the model or technique used to estimate the parameters can itself be improved. Against this background, this thesis addresses three relevant research questions:

- How can financial intermediaries exploit information synergies (economies of scope) between different private sources of information in order to manage credit risk and customer relationships in a targeted manner?
- How can a customer’s choice of a particular design of a financial product be explained? What can be learned about the customer from this choice? Is there a relationship between the customer’s default risk and his choice?
- How can financial intermediaries model an unbiased exposure at default? Which is the appropriate method for estimating such an exposure at default?