Konsensusschätzungen

KonsensusSchätzungen are a statistical method used in the financial industry to estimate the probability of default (PD) for a large portfolio of borrowers or counterparties. The term "Konsensus" comes from the German word for "consensus," which reflects the collaborative approach of this method.

In KonessenSchätzungen, banks and other financial institutions pool their data on defaults to create a collective sample of defaulted and non-defaulted loans. This shared data is then used to estimate the PD for the entire portfolio. The method is based on the concept of the credit loss function, which describes the relationship between the PD and the loss given default (LGD).

KonsensusSchätzungen are widely used in the Basel II framework for credit risk management, as they allow for a more accurate estimation of credit risk. The method also takes into account the dependencies between borrowers and assets, such as correlations between credit defaults and economic downturns.

The benefits of KonsensusSchätzungen include improved accuracy and a more comprehensive understanding of credit risk. Additionally, the method allows for a more realistic modeling of rare events, such as large systematic defaults. This is particularly important for financial institutions that are subject to capital requirements based on their credit risk exposure.

While KonsensusSchätzungen have become a widely accepted method in the industry, some critics argue that the method relies too heavily on historical data and may not account for new or unforeseen risks. Nonetheless, KonsensisSchätzungen remain a key tool for financial institutions seeking to assess and manage their credit risk exposure.