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Czasopismo
2006 | nr 11-12 | 67--80
Tytuł artykułu

Nieparametryczna estymacja rozkładu stóp odzysku z ekspozycji kredytowej na bazie krótkich szeregów czasowych

Treść / Zawartość
Warianty tytułu
Non-parametrical Estimation of Recovery Rate's Probability Distribution for Credit Exposures to Defaulted Obligors
Języki publikacji
PL
Abstrakty
W artykule przedstawiono analizę jednego z parametrów ryzyka kredytowego, a mianowicie stopy odzysku (ang. recovery rates, RR) dla portfeli kredytowych banku. Nie ograniczono się do estymacji wartości oczekiwanej stopy odzysku czy jej odchylenia standardowego dla zadanego portfela kredytowego, ale wykorzystując techniki nieparametryczne, zbudowano funkcję gęstości rozkładu prawdopodobieństwa stopy odzysku.
EN
The following article presents an approach to non-parametrical estimation of recovery rate's (RR) probability distribution for credit exposures to defaulted obligors. The described algorithms allow to deal with the obstacle of limited available data about past recovery rates. The analyses based on Markov process assumptions make use of information about amounts recovered from defaulted obligors in relatively short time. The methods presented in the theoretical section are then implemented in order to analyze probability distributions of recovery rates in four different credit portfolios. The obtained probability distributions are bimodal as the highest probabilities have been observed for very low or relatively high recovery rates. The results are in accordance with ones presented by other authors and suggest that the common practice of implementing beta distribution to models of recovery rates should be regarded as not fully justified. (original abstract)
Czasopismo
Rocznik
Numer
Strony
67--80
Opis fizyczny
Twórcy
Bibliografia
  • Altman E.I., Resti A., Sironi A. (2005), Loss Given Default: A Review of the Literature, w: E.I. Altman, A. Resti, A. Sironi (red.), Recovery Risk: The Next Challenge in Credit Risk Management, Riskbooks, London.
  • Araten M., Jacobs Jr. M., Varshney P. (2004), Measuring LGD on Commercial Loans: An 18-Year Internal Study, "The RMA Journal", May, s.28-35 (http://michaeljacobsjr.com).
  • Asarnow E., Edwards D. (1995), Measuring Loss on Defaulted Bank Loans: a 24-Year Study, "The Journal of Commercial Lending", Vol. 77, No. 7, s.11-23.
  • Basel Committee on Banking Supervision (2004), International Convergence of Capital Measurement and Capital Standards. A Revised Framework, June, Basle.
  • Bosworth E., Eales R. (1998), Severity of Loss in the Event of Default in Small Business and Large Consumer Loans, "The Journal of Lending and Credit Risk Management", May, s. 58-65.
  • Carty L.V., Gates D., Gupton G.M., (1996), Bank Loan Loss Given Default, "Moody's Investors Service - Global Credit Research", November, http://www.moodyskmv.com.
  • Carty L.V., Lieberman D. (1996), Defaulted Bank Loan Recoveries, "Moody's Investors Service - Global Credit Research", November, http://www.moodyskmv.com.
  • Chabaane E., Laurent J.P., Salomon J. (2005), Credit Risk Assessment and Stochastic LGD: An Investigation of Correlation Effects, w: E. I. Altman, A. Resti, A. Sironi (red.), Recovery Risk: The Next Challenge in Credit Risk Management, Riskbooks, London.
  • Chen S.X. (2000), Beta Kernel Smothers for Regression Curves, "Statistica Sinica", No. 10, s.73-91, http://www3.stat.sinica.edu.tw.
  • Dermine J., Neto de Carvalho C. (2005), How to Measure Recoveries and Provisions on Bank Lending: Methodology and Empirical Evidence, w: E. I. Altman, A. Resti, A. Sironi (red.), Recovery Risk: The Next Challenge in Credit Risk Management, Riskbooks, London.
  • Felsovalyi A., Hurt L. (1998), Measuring Loss on Latin American Defaulted Bank Loans: A 27-Year Study of 27 Countries, "The Journal of Lending and Credit Risk Management", Vol. 81, No. 2, s. 41-46.
  • Friedman C., Sandow S. (2005), Estimating Probability Distributions of Recovery Rates: A Utility-Based Approach, w: E.I.Altman, A.Resti, A.Sironi (red.), Recovery Risk: The Next Challenge in Credit Risk Management, Riskbooks, London 2005.
  • Frye J. (2000), Depressing Recoveries, "Emerging Issues Series", Federal Reserve Bank of Chicago, October, http://www.chicagofed.org.
  • Gajek L., Kałuszka M. (2000), Wnioskowanie statystyczne: modele i metody, Wydawnictwo Naukowo-Techniczne, Warszawa.
  • Grippa P., Iannotti S., Leandri F. (2005), Recovery Rates in the Banking Industry: Stylised Facts Emerging from the Italian Experience, w: E.I. Altman, A. Resti, A. Sironi (red.), Recovery Risk: The Next Challenge in Credit Risk Management, Riskbooks, London.
  • Grunert J., Weber M. (2005), Recovery Rates of Bank Loans: Empirical Evidence for Germany, http://medici.bwl.uni-mannheim.de
  • Hagmann M., Renault O., Scaillet O. (2005), Estimation of Recovery Rate Densities: Non-parametric and Semi-parametric Approaches versus Industry Practice, w: E.I. Altman, A. Resti, A. Sironi (red.), Recovery Risk: The Next Challenge in Credit Risk Management, Riskbooks, London.
  • Hu Y.T., Perraudin W. (2002), The Dependence of Recovery Rates and Defaults, February, http://www3.imperial.ac.uk
  • Jakubowski J., Sztencel R. (2004), Wstęp do teorii prawdopodobieństwa, Script, Warszawa.
  • Keisman D., Van de Castle K. (1999), Recovering Your Money: Insights Into Losses From Defaults, "Standard & Poor's CreditWeek", July 16, http:// www.qf.nthu.edu.tw
  • Laurent M.P., Schmit M. (2005), Estimating Distressed LGD on Defaulted Exposures: A Portfolio Model Applied to Leasing Contracts, w: E. I. Altman, A. Resti, A. Sironi (red.), Recovery Risk: The Next Challenge in Credit Risk Management, Riskbooks, London.
  • Maclachlan I. (2005), Choosing the Discount Factor for Estimating Economic LGD, w: E. I. Altman, A. Resti, A. Sironi (red.), Recovery Risk: The Next Challenge in Credit Risk Management, Riskbooks, London.
  • Querci F. (2005), Loss Given Default on a Medium-Sized Italian Bank's Loans: An Empirical Exercise, January, http://www.efmaefm.org.
  • Rajagopalan B., Lall U. (1999), A k-Nearest-Neighbor Simulator For Daily Precipitation and Other Weather Variables, "Water Resources Research", Vol. 35, No. 10, s. 3089-3101, http://bechtel.colorado.edu/~balajir
  • Schuermann T. (2005), What Do We Know About Loss Given Default?, w: E. I. Altman, A. Resti, A. Sironi (red.), Recovery Risk: The Next Challenge in Credit Risk Management, Riskbooks, London.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000121047689

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