Overlapping Observations in Credit Risk Models

• Autorzy: Dobromił Serwa
• Języki publikacji: EN

Abstrakty

EN

Parameters in logistic regression models for probability of default are typically estimated using the maximum likelihood method. The aim of this paper is to verify whether the use of overlapping observations improves precision or causes deterioration of estimation results in these models. Our Monte Carlo simulations demonstrate that the difference between parameter estimates using all overlapping observations in a sample and only non-overlapping observations in a reduced sample is not statistically significant, but the variance of parameter estimates is reduced when overlapping observations are used.(original abstract)

Słowa kluczowe

EN

Credit risk; Logistic regression; Banking system

PL

Ryzyko kredytowe; Regresja logistyczna; System bankowy

• Czasopismo: Econometric Research in Finance
• Rocznik: 2022
• Tom: 7
• Numer: nr 2
• Strony: 193--211

Twórcy

autor

Dobromił Serwa

• Szkoła Główna Handlowa w Warszawie

Bibliografia

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Identyfikatory

DOI

DOI: https://doi.org/10.2478/erfin-2022-0007