|
|
Digital
Library of the European Council for Modelling
and Simulation |
|
Title: |
Stress Test Modelling Of PD Risk Parameter Under
Advanced IRB |
|
Authors: |
Zoltan Pollak,
David Popper |
|
Published in:
|
(2017).ECMS 2017 Proceedings
Edited by: Zita Zoltay Paprika, Péter Horák, Kata Váradi, Péter Tamás
Zwierczyk, Ágnes Vidovics-Dancs, János Péter Rádics European Council for Modeling and Simulation. doi:10.7148/2017 ISBN:
978-0-9932440-4-9/ ISBN:
978-0-9932440-5-6 (CD) 31st European Conference on Modelling and
Simulation, Budapest, Hungary, May 23rd
– May 26th, 2017 |
|
Citation
format: |
Zoltan
Pollak, David Popper (2017). Stress Test Modelling Of PD Risk Parameter Under
Advanced IRB, ECMS 2017 Proceedings Edited by: Zita Zoltay Paprika, Péter
Horák, Kata Váradi, Péter Tamás Zwierczyk, Ágnes Vidovics-Dancs, János
Péter Rádics European Council for Modeling and Simulation. doi: 10.7148/2017-0087 |
|
DOI: |
https://doi.org/10.7148/2017-0087 |
|
Abstract: |
The
2008 crisis highlighted the importance of using stress tests in banking
practice. The role of these stress tests is to identify and precisely
estimate the effect of possible future changes in economic conditions on the
capital adequacy and profitability of banks. This paper seeks to show a
possible methodology to calculate the stressed point-in-time PD parameter.
The presented approach contains a linear autoregressive distributed lag model
to determine the connection between the logit of default rates and the
relevant macroeconomic factors, and uses migration matrices to calculate PDs
from the forecasted default rates. The authors illustrate the applications of
this methodology using real credit portfolio data. |
|
Full
text: |
|
