| Titre : | Cyclical adjustment of point-in-time PD (2011) |
| Auteurs : | S. Ingolfsson, Auteur ; B. T. Elvarsson, Auteur |
| Type de document : | Article : texte imprimé |
| Dans : | Journal of the operational research society (JORS) (Vol. 61 N° 3, Mars 2010) |
| Article en page(s) : | pp. 374–380 |
| Note générale : | Recherche opérationnelle |
| Langues : | Anglais |
| Index. décimale : | 001.424 |
| Tags : | Banking Risk Capital budgeting Time series Forecasting |
| Résumé : | Banking regulation stipulates that to calculate minimum capital requirements a long-term average of annual default probability (PD) should be used. Typically, logistic regression is applied with a 12-month sample period to obtain retail PD estimates. Thus the output will reflect the default rate in the sample, and not the long-term average. The ensuing calibration problem is addressed in the paper by a ‘variable scalar methodology’, based on an actual application in a commercial bank. Using quarterly intra-bank loss data over 15 years, a state-space model of the credit cycle is estimated by a Kalman filter, resulting in a structural decomposition of the credit cycle. This yields an adjustment factor for each point in the cycle for each of two client segments. The regulatory compliance aspects of such a framework, as well as some practical issues are presented and discussed. |
| DEWEY : | 001.424 |
| ISSN : | 0160-5682 |
| En ligne : | http://www.palgrave-journals.com/jors/journal/v61/n3/abs/jors2009136a.html |
