Mehrperiodenausfallprognose eines Bankportfolios aus deutschen mittelständischen Unternehmen

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.