Bilanzielle Ausfallwahrscheinlichkeitsschätzung und Bonitätsaufschläge

Ein europäischer Branchenvergleich

Abstract

As a consequence of Basel II, credit interest rates comprise two important components: default cost and rating-dependent refinancing cost. Both components are determined considerably by the probability of default. Published balance sheet-based rating functions enable us to estimate this probability. The application of these functions to the balance sheet data provided by the European commission permits an European comparison of industry-average enterprises in terms of probabilities of default and credit spreads.