Journal of Credit Risk最新文献_第7页

Benchmarking the Loss Given Default Parameter for Mortgage Loan Portfolios Under Stress 压力下抵押贷款组合的违约参数损失基准分析

IF 0.3 4区经济学

Journal of Credit Risk Pub Date : 2016-11-01 DOI: 10.21314/JCR.2016.217

C. Greve, L. Hahnenstein

引用次数: 0

Further Investigation of Parametric Loss Given Default Modeling 默认建模下参数损失的进一步研究

IF 0.3 4区经济学

Journal of Credit Risk Pub Date : 2016-10-17 DOI: 10.21314/JCR.2016.215

Phillip Li, M. Qi, Xiaofei Zhang, Xinlei Zhao

{"title":"Further Investigation of Parametric Loss Given Default Modeling","authors":"Phillip Li, M. Qi, Xiaofei Zhang, Xinlei Zhao","doi":"10.21314/JCR.2016.215","DOIUrl":"https://doi.org/10.21314/JCR.2016.215","url":null,"abstract":"We conduct a comprehensive study of some parametric models that are designed to fit the unusual bounded and bimodal distribution of loss given default (LGD). We first examine a smearing estimator, a Monte Carlo estimator and a global adjustment approach to refine transformation regression models that address issues with LGD boundary values. Although these refinements only marginally improve model performance, the smearing and Monte Carlo estimators help to reduce the sensitivity of transformation regressions to the adjustment factor. We then conduct a horse race among the refined transformation methods, five parametric models that are specifically suitable for LGD modeling (two-step, inflated beta, Tobit, censored gamma and two-tiered gamma regressions), fractional response regression and standard linear regression. We find that the sophisticated parametric models do not clearly outperform the simpler ones in either predictive accuracy or rank-ordering ability, in-sample, out-of-sample or out of time. Therefore, it is important for modelers and researchers to choose the model that is appropriate for their particular data set, considering differences in model complexity, computational burden, ease of implementation and model performance.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"18 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2016-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84435606","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 19

Modeling corporate customers’ credit risk considering the ensemble approaches in multiclass classification: evidence from Iranian corporate credits 考虑多类分类集成方法的企业客户信用风险建模:来自伊朗企业信用的证据

IF 0.3 4区经济学

Journal of Credit Risk Pub Date : 2016-08-16 DOI: 10.21314/JCR.2016.213

Parastoo Rafiee Vahid, Abbas Ahmadi

引用次数: 3

Estimating Credit Risk Parameters Using Ensemble Learning Methods: An Empirical Study on Loss Given Default 基于集成学习方法的信用风险参数估计——基于违约损失的实证研究

IF 0.3 4区经济学

Journal of Credit Risk Pub Date : 2016-08-09 DOI: 10.21314/jcr.2016.212

Han Sheng Sun, Zi Jin

{"title":"Estimating Credit Risk Parameters Using Ensemble Learning Methods: An Empirical Study on Loss Given Default","authors":"Han Sheng Sun, Zi Jin","doi":"10.21314/jcr.2016.212","DOIUrl":"https://doi.org/10.21314/jcr.2016.212","url":null,"abstract":"In credit risk modeling, banks and insurance companies routinely use a single model for estimating key risk parameters. Combining several models to make a final prediction is not often considered. Using an ensemble or a collection of models rather than a single model can improve the accuracy and robustness of prediction results. In this study, we investigate two well-established ensemble learning methods (stochastic gradient boosting and random forest) and propose two new ensembles (ensemble by partial least squares and bag-boosting) in the application of predicting the loss given default. We demonstrate that an ensemble approach significantly increases the discriminatory power of the model compared with a single decision tree. In addition, the ensemble learning methods can be applied directly to predicting the exposure at default and probability of default with some simple modifications. The proposed approaches introduce a novel modeling framework that banks and other financial institutions can use to estimate and validate credit risk parameters based on the internal data of different portfolios. Moreover, the proposed approaches can be readily extended to general portfolio risk modeling in the areas of regulatory capital and economic capital management, loss forecasting, stress testing and pre-provision net revenue projections.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"11 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2016-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80168145","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 9

The Impact of Loan-to-Value on the Default Rate of Residential Mortgage-Backed Securities 贷款价值比对住房抵押贷款支持证券违约率的影响

IF 0.3 4区经济学

Journal of Credit Risk Pub Date : 2016-07-22 DOI: 10.21314/JCR.2016.210

L. O. González, Pablo Durán Santomil, Milagros Vivel Búa

引用次数: 4

A Credit Portfolio Framework Under Dependent Risk Parameters: Probability of Default, Loss Given Default and Exposure at Default 依赖风险参数下的信用组合框架:违约概率、违约损失和违约风险

IF 0.3 4区经济学

Journal of Credit Risk Pub Date : 2016-03-10 DOI: 10.21314/JCR.2016.202

Johanna Eckert, K. Jakob, M. Fischer

引用次数: 14

Are All Collections Equal? The Case of Medical Debt 所有集合都是相等的吗?医疗债务案例

IF 0.3 4区经济学

Journal of Credit Risk Pub Date : 2015-12-04 DOI: 10.21314/jcr.2015.201

Kenneth P. Brevoort, Michelle Kambara

引用次数: 9

Hermite Approximations in Credit Portfolio Modeling with Probability of Default-Loss Given Default Correlation 考虑违约相关性的信用组合违约-损失概率建模中的Hermite逼近

IF 0.3 4区经济学

Journal of Credit Risk Pub Date : 2015-08-07 DOI: 10.21314/jcr.2015.195

A. Owen, J. S. Bryers, Francois Buet-Golfouse

引用次数: 1

The Robustness of Estimators in Structural Credit Loss Distributions 结构信用损失分布估计量的鲁棒性

IF 0.3 4区经济学

Journal of Credit Risk Pub Date : 2015-06-08 DOI: 10.21314/JCR.2015.193

Enrique Eugenio Batiz‐Zuk, G. Christodoulakis, S. Poon

引用次数: 2

Fitting a Distribution to Value-at-Risk and Expected Shortfall, with an Application to Covered Bonds 风险价值和预期缺口的拟合分布，并应用于担保债券

IF 0.3 4区经济学

Journal of Credit Risk Pub Date : 2015-05-27 DOI: 10.2139/ssrn.2611360

Dirk Tasche

{"title":"Fitting a Distribution to Value-at-Risk and Expected Shortfall, with an Application to Covered Bonds","authors":"Dirk Tasche","doi":"10.2139/ssrn.2611360","DOIUrl":"https://doi.org/10.2139/ssrn.2611360","url":null,"abstract":"Covered bonds are a specific example of senior secured debt. If the issuer of the bonds defaults the proceeds of the assets in the cover pool are used for their debt service. If in this situation the cover pool proceeds do not suffice for the debt service, the creditors of the bonds have recourse to the issuer's assets and their claims are pari passu with the claims of the creditors of senior unsecured debt. Historically, covered bonds have been very safe investments. During their more than two hundred years of existence, investors never suffered losses due to missed payments from covered bonds. From a risk management perspective, therefore modelling covered bonds losses is mainly of interest for estimating the impact that the asset encumbrance by the cover pool has on the loss characteristics of the issuer's senior unsecured debt. We explore one-period structural modelling approaches for covered bonds and senior unsecured debt losses with one and two asset value variables respectively. Obviously, two-assets models with separate values of the cover pool and the issuer's remaining portfolio allow for more realistic modelling. However, we demonstrate that exact calibration of such models may be impossible. We also investigate a one-asset model in which the riskiness of the cover pool is reflected by a risk-based adjustment of the encumbrance ratio of the issuer's assets.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"58 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2015-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73190229","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3