Autore: Di Clemente, Annalisa
Titolo: Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk: an experimental analysis
Periodico: Studi economici [1950]
Anno: 2013 - Fascicolo: 109 - Pagina iniziale: 5 - Pagina finale: 24

In this paper a simple and innovative model for measuring more accurately the credit tail risk of a banking book is presented. This is a Monte Carlo simulation model in which the credit loss severity (LGD) is a stochastic variable and it is correlated to the default event. Specifically, LGD is assumed to be distributed as a conditional beta function and its two parameters a and b are estimated assuming a mean value of LGD linked to the value of the PD conditional to the value of the macro-economic risk factor generated in every Monte Carlo simulative scenario. The linkage between the average LGD and the conditional PD is obtained by a simple linear regression analysis calibrated by using the time series of easily available financial historical data (Moody’s, 2011; Standard & Poor’s, 2012).




SICI: 0039-2928(2013)109<5:CTDBTC>2.0.ZU;2-D
Testo completo: http://www.francoangeli.it/riviste/Scheda_Rivista.aspx?IDArticolo=51675&Tipo=Articolo PDF

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