An extensive academic and practitioner’s literature exists on rating models development with well-structured statistical methods, however these models do not estimate PDs aligned with the economic scenario, then it is necessary a calibration. During the last years the effect of not well calibrated models has been observed on the credit market: actually they show a high level of procyclicality that let them loss market credibility and banking usability. The aim of this paper is to show a modern structured calibration approach, based on Bayesian techniques, taking into consideration specific economic factors. The calibration approach has been finally applied on real data of a Corporate portfolio of a top tier European Bank and a new calibration test, adjusted by the economic cycle, has been performed.
Bonini, S., Caivano, G. (2014). Probability of Default: A Modern Calibration Approach. Cham : Springer International Publishing [10.1007/978-3-319-05014-0_9].
Probability of Default: A Modern Calibration Approach
Bonini, Stefano
;Caivano, Giuliana
2014
Abstract
An extensive academic and practitioner’s literature exists on rating models development with well-structured statistical methods, however these models do not estimate PDs aligned with the economic scenario, then it is necessary a calibration. During the last years the effect of not well calibrated models has been observed on the credit market: actually they show a high level of procyclicality that let them loss market credibility and banking usability. The aim of this paper is to show a modern structured calibration approach, based on Bayesian techniques, taking into consideration specific economic factors. The calibration approach has been finally applied on real data of a Corporate portfolio of a top tier European Bank and a new calibration test, adjusted by the economic cycle, has been performed.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
