Model for Analysing Credit Risk in the Enterprise Sector
Journal article
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http://hdl.handle.net/11250/2504900Utgivelsesdato
2001Metadata
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Sammendrag
When banks’ overall risk is evaluated, their credit risk exposure to the enterprise sector is a key element. In analyses of banks’ credit risk in the enterprise sector, both a macroeconomic and a business economics approach are generally applied, the latter based on corporate earnings, liquidity and financial strength. In this article, we present a new model that predicts enterprise-specific bankruptcy probabilities. On the basis of these probabilities, both aggregate bankruptcy probabilities and the magnitude of accompanying losses for banks can be estimated.