Vaš brskalnik ne omogoča JavaScript!
JavaScript je nujen za pravilno delovanje teh spletnih strani. Omogočite JavaScript ali pa uporabite sodobnejši brskalnik.
Nacionalni portal odprte znanosti
Odprta znanost
DiKUL
slv
|
eng
Iskanje
Brskanje
Novo v RUL
Kaj je RUL
V številkah
Pomoč
Prijava
The Merton structural model and IRB compliance
ID
Jovan, Matej
(
Avtor
)
URL - Predstavitvena datoteka, za dostop obiščite
http://mrvar.fdv.uni-lj.si/pub/mz/mz7.1/jovan.pdf
Galerija slik
Izvleček
This paper discusses the 1974 Merton's model in light of the minimum regulatory requirements of the Internal Ratings-Based (IRB) Approach provided in the Directive 2006/48/EC of the European Parliament and of the Council for the calculation of capital requirement for credit risk. The basic purpose is to illustrate potential deficiencies of the model in assigning obligors ratings and/or estimating probability of default to which supervisors should be attentive when validating this model in bank's IRB approach. The procedures of three estimation methods of Merton's model are described (calibration, Moody's KMV, maximum likelihood estimation), based on which deficiencies of this model can be identified. The Merton's model per se does not ensure compliance with the minimum requirements of the IRB approach for the estimation of probability of default, as its theoretical assumptions often do not reflect reality. It is therefore necessary to calibrate the fundamental parameters estimated by the model using empirical data on defaults, which must be defined in accordance with the regulatory minimum requirements, and must be representative of the population for which the modelis valid. Results on the simulated data also show that calibration method provides different estimates of probability of default for the same obligors compared to other two methods. Differences are mainly influenced by the volatility of equity and leverage in the time series, which calibration method does not sufficiently account for. Some regulatory minimum requirement scan be relaxed when obligors are being assigned ratings on the basis of the Merton's model estimation methods. However, the results of the analysis on simulated and empirical data show that different estimation methods generate different obligor credit rating assignments.
Jezik:
Angleški jezik
Ključne besede:
krediti
,
tveganje
,
statistični modeli
Vrsta gradiva:
Delo ni kategorizirano
Tipologija:
1.01 - Izvirni znanstveni članek
Organizacija:
FDV - Fakulteta za družbene vede
Leto izida:
2010
Št. strani:
Str. 39-57
Številčenje:
Vol. 7, no. 1
PID:
20.500.12556/RUL-23139
UDK:
311.1:336.77
ISSN pri članku:
1854-0023
COBISS.SI-ID:
29644893
Datum objave v RUL:
11.07.2014
Število ogledov:
920
Število prenosov:
284
Metapodatki:
Citiraj gradivo
Navadno besedilo
BibTeX
EndNote XML
EndNote/Refer
RIS
ABNT
ACM Ref
AMA
APA
Chicago 17th Author-Date
Harvard
IEEE
ISO 690
MLA
Vancouver
:
Kopiraj citat
Objavi na:
Gradivo je del revije
Naslov:
Advances in methodology and statistics
Skrajšan naslov:
Metodol. zv.
Založnik:
Fakulteta za družbene vede
ISSN:
1854-0023
COBISS.SI-ID:
215795712
Sekundarni jezik
Jezik:
Neznan jezik
Ključne besede:
credit
,
risk
,
statistical models
Podobna dela
Podobna dela v RUL:
Podobna dela v drugih slovenskih zbirkah:
Nazaj