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

• Autorzy: Łukasz Kozłowski , Piotr Osiński

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)

Słowa kluczowe

PL

Ryzyko kredytowe; Portfel kredytowy; Regresja nieparametryczna

EN

Credit risk; Credit portfolio; Nonparametric regression

• Czasopismo: Bank i Kredyt
• Rocznik: 2006
• Numer: nr 11-12
• Strony: 67--80

Twórcy

autor

Łukasz Kozłowski

autor

Piotr Osiński

Bibliografia

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