## 62H12 Estimation

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- Statistical aspects of setting up a credit rating system (2006)
- The new international capital standard for credit institutions (“Basel II”) allows banks to use internal rating systems in order to determine the risk weights that are relevant for the calculation of capital charge. Therefore, it is necessary to develop a system that enfolds the main practices and methods existing in the context of credit rating. The aim of this thesis is to give a suggestion of setting up a credit rating system, where the main techniques used in practice are analyzed, presenting some alternatives and considering the problems that can arise from a statistical point of view. Finally, we will set up some guidelines on how to accomplish the challenge of credit scoring. The judgement of the quality of a credit with respect to the probability of default is called credit rating. A method based on a multi-dimensional criterion seems to be natural, due to the numerous effects that can influence this rating. However, owing to governmental rules, the tendency is that typically one-dimensional criteria will be required in the future as a measure for the credit worthiness or for the quality of a credit. The problem as described above can be resolved via transformation of a multi-dimensional data set into a one-dimensional one while keeping some monotonicity properties and also keeping the loss of information (due to the loss of dimensionality) at a minimum level.

- Modelling, Estimating and Validating Multidimensional Distribution Functions -With Applications to Risk Management- (2003)
- The question of how to model dependence structures between financial assets was revolutionized since the last decade when the copula concept was introduced in financial research. Even though the concept of splitting marginal behavior and dependence structure (described by a copula) of multidimensional distributions already goes back to Sklar (1955) and Hoeffding (1940), there were very little empirical efforts done to check out the potentials of this approach. The aim of this thesis is to figure out the possibilities of copulas for modelling, estimating and validating purposes. Therefore we extend the class of Archimedean Copulas via a transformation rule to new classes and come up with an explicit suggestion covering the Frank and Gumbel family. We introduce a copula based mapping rule leading to joint independence and as results of this mapping we present an easy method of multidimensional chi²-testing and a new estimate for high dimensional parametric distributions functions. Different ways of estimating the tail dependence coefficient, describing the asymptotic probability of joint extremes, are compared and improved. The limitations of elliptical distributions are carried out and a generalized form of them, preserving their applicability, is developed. We state a method to split a (generalized) elliptical distribution into its radial and angular part. This leads to a positive definite robust estimate of the dispersion matrix (here only given as a theoretical outlook). The impact of our findings is stated by modelling and testing the return distributions of stock- and currency portfolios furthermore of oil related commodities- and LME metal baskets. In addition we show the crash stability of real estate based firms and the existence of nonlinear dependence in between the yield curve.