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Ermittlung und Schätzung des Loss Given Default im Leasing: Die Verlustquote als Mischverteilung

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  • Hartmann-Wendels, Thomas
  • Elbracht, Hans Christian

Abstract

Der Beitrag stellt ein Verfahren zur Schätzung des Loss Given Default (LGD) von Leasingverträgen vor. Die typisch multimodale Form von LGD-Verteilungen im Leasing lässt sich nicht durch Klassifikation nach Objektarten, Kundentypen, Laufzeiten oder Ausfallzeitpunkten erklären. Folglich ist ein statistischer Ansatz zu verwenden, welcher die durch die Multimodalität zum Ausdruck kommende Heterogenität von LGD-Verteilungen erklären kann. Aktuelle Auswertungen belegen die Verbesserung von Schätzungen mit dem vorliegenden Mischverteilungs­ansatz im Vergleich zu herkömmlichen Verfahren.

Suggested Citation

  • Hartmann-Wendels, Thomas & Elbracht, Hans Christian, 2010. "Ermittlung und Schätzung des Loss Given Default im Leasing: Die Verlustquote als Mischverteilung," Leasing - Wissenschaft & Praxis, Universität zu Köln, Forschungsinstitut für Leasing, vol. 8(1), pages 67-80.
    • Handle: RePEc:zbw:uoclwp:60312
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    References listed on IDEAS

    as
    1. Hugues Pirotte & Celine Vaessen, 2008. "Residual value risk in the leasing industry: A European case," The European Journal of Finance, Taylor & Francis Journals, vol. 14(2), pages 157-177.
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    3. Mathias Schmit, 2005. "Is Automotive Leasing a Risky Business?," Finance, Presses universitaires de Grenoble, vol. 26(2), pages 35-66.
    4. Marie-Paule Laurent & Mathias Schmit, 2005. "Estimating distressed LGD on defaulted exposures: a portfolio model applied to leasing contracts," ULB Institutional Repository 2013/14421, ULB -- Universite Libre de Bruxelles.
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