Зарегистрироваться
Восстановить пароль
FAQ по входу

Frerichs H., Löffler G. Evaluating Credit Risk Models. A Critique and a Proposal

  • Файл формата pdf
  • размером 125,83 КБ
  • Добавлен пользователем , дата добавления неизвестна
  • Отредактирован
Frerichs H., Löffler G. Evaluating Credit Risk Models. A Critique and a Proposal
Goethe-University, 2001. — (Working Paper Series: Finance and Accounting).
Evaluating the quality of credit portfolio risk models is an important issue for both banks and regulators. Lopez and Saidenberg (2000) suggest cross-sectional resampling techniques in order to make efficient use of available data. We show that their proposal disregards cross-sectional dependence in resampled portfolios, which renders standard statistical inference invalid. We proceed by suggesting the Berkowitz (1999) procedure, which relies on standard likelihood ratio tests performed on transformed default data. We simulate the power of this approach in various
settings including one in which the test is extended to incorporate cross-sectional information. To compare the predictive ability of alternative models, we propose to use either Bonferroni bounds or the likelihood-ratio of the two models. Monte Carlo simulations show that a default history of ten years can be sufficient to resolve uncertainties currently present in credit risk modeling.
  • Чтобы скачать этот файл зарегистрируйтесь и/или войдите на сайт используя форму сверху.
  • Регистрация