Default estimation for low-default portfolios
نویسندگان
چکیده
منابع مشابه
Default Estimation for Low-Default Portfolios
The problem in default probability estimation for low-default portfolios is that there is little relevant historical data information. No amount of data processing can x this problem. More information is required. Incorporating expert opinion formally is an attractive option.
متن کامل2 00 4 Estimating Probabilities of Default for Low Default Portfolios
For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of the credit-worthiness of borrowers are indispensable. These assessments are expressed in terms of probabilities of default (PD) that should incorporate a certain degree of conservatism in order to reflect the prudential risk management style banks ...
متن کامل2 00 5 Estimating Probabilities of Default for Low Default Portfolios
For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of the credit-worthiness of borrowers are indispensable. These assessments are expressed in terms of probabilities of default (PD) that should incorporate a certain degree of conservatism in order to reflect the prudential risk management style banks ...
متن کاملN ov 2 00 4 Estimating Probabilities of Default for Low Default Portfolios
For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of creditworthiness are indispensable. These assessments are expressed in terms of probabilities of default (PD) that should incorporate a certain degree of conservatism in order to reflect the prudential risk management style banks are required to ap...
متن کاملTails of Credit Default Portfolios
We derive analytic expressions for the tail behavior of credit losses in a large homogeneous credit default portfolio. Our model is an extended CreditMetrics model; i.e. it is a one-factor model with a multiplicative shock-variable. We show that the first order tail behavior is robust with respect to this shockvariable. In a simulation study we compare different models for the latent variables....
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ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 2009
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2008.03.004