Title: A tourism sector credit default model
Language: English
Authors: Franz, Richard
Qualification level: Diploma
Advisor: Stomper, Alexander 
Issue Date: 2010
Number of Pages: 34
Qualification level: Diploma
For bank's share- and stakeholders a borrower's default can lead to signifcant costs. An appropriate credit risk model is thus needed to ensure that timely enough steps can be taken to avoid failure of rms. A prominent way to model credit risk is survival time analysis which accounts for censored data. This study considers the Austrian hotel sector taking weather, market and macro data into account. As there is a significant difference between rms entering the sample as restructuring cases and rms which are healthy at that time two models are estimated. The final models include macro and weather data and feature an inverted-U shaped estimated hazard rate. This is in-line with the literature and intuition.
URI: https://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-49812
Library ID: AC08202613
Organisation: E017 - Weiterbildungszentrum der TU Wien 
Publication Type: Thesis
Appears in Collections:Thesis

Files in this item:

File Description SizeFormat
A tourism sector credit default model.pdf552.23 kBAdobe PDFThumbnail
Show full item record

Page view(s)

checked on Feb 18, 2021


checked on Feb 18, 2021

Google ScholarTM


Items in reposiTUm are protected by copyright, with all rights reserved, unless otherwise indicated.