원문정보
초록
영어
In Basel II, the IRB formula was developed from the Asymptotic Single Risk Factor (ASRF) credit risk model proposed by Vasicek (1987). Based on the same model settings but taking early bankruptcies into consideration, we incorporated the “intra-horizon risk” model proposed in Kritzman and Rich (2002) to help measure the worst-case conditional probabilities of default (WCPDs) for credit portfolios and then compared our results with the IRB formula. The comparisons showed that our models could provide an explicit formula yielding similar capital requirements to the IRB formula. Besides, for the corporate exposures, we suggested an approximate 11.2% of capital buffers above the minimum capital requirements and estimated the confidence intervals of WCPDs to help ensure the robustness of the minimum capital requirements. Finally, we concluded that playing a critical role in capital charge, the estimation and/or prediction of PD should take into account the long-run evolving path of the systematic risk factors.
목차
1. Introduction
2. The IRB Formula
2.1. Derivation of the IRB Formula
2.2. Extension to Multiple Years
2.3. Estimating Probability of Default
3. The Intra-Horizon Conditional PD
3.1. Model Setting
3.2. Estimating Worst-Case Probabilities of Default
3.3. Estimating Unconditional PD
4. The Comparisons
4.1. Comparisons of IRB Formula and Intra-Horizon Case 1
4.2. Comparisons of IRB formula and Both Intra-Horizon Models
4.3. Confidence Intervals of WCPDs
5. Concluding Remarks
REFERENCES