کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
6894437 | 1445922 | 2018 | 57 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation
ترجمه فارسی عنوان
تأثیرات سیستماتیک در ازای برآورد پیش فرض ها و تأثیرات آنها در برآورد رکود
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کلمات کلیدی
مدیریت ریسک، وام های بانکی، ریسک اعتباری، اثرات تصادفی،
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
چکیده انگلیسی
Banks are obliged to provide downturn estimates for loss given defaults (LGDs) in the internal ratings-based approach. While downturn conditions are characterized by systematically higher LGDs, it is unclear which factors may best capture these conditions. As LGDs depend on recovery payments which are collected during varying economic conditions in the resolution process, it is challenging to identify suitable economic variables. Using a Bayesian Finite Mixture Model, we adapt random effects to measure economic conditions and to generate downturn estimates. We find that systematic effects vary among regions, i.e., the US and Europe, and strongly deviate from the economic cycle. Our approach offers straightforward supportive tools for decision makers. Risk managers are enabled to select their individual margin of conservatism based on their portfolios, while regulators might set a lower bound to guarantee conservatism. In comparison to other approaches, our proposal appears to be conservative enough during downturn conditions and inhibits over-conservatism.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 271, Issue 3, 16 December 2018, Pages 1113-1144
Journal: European Journal of Operational Research - Volume 271, Issue 3, 16 December 2018, Pages 1113-1144
نویسندگان
Jennifer Betz, Ralf Kellner, Daniel Rösch,