Competing Risk Models of Default in the Presence of Early Repayments

• Autorzy: Ewa Wycinka

Warianty tytułu

Zastosowanie modeli zdarzeń konkurujących do oceny ryzyka kredytowego

• Języki publikacji: EN

Abstrakty

EN

One of the central tasks of credit institutions is credit risk assessment, in which the estimation of the probability of default is an important element. The size of an institution's credit portfolio can decrease as a result of early repayments, which changes the probability of default over time. Prognosis of the probability of default should therefore also take into consideration the prognosis of early repayments. In this paper, methods of evaluating the probability of default over time, using competing risks regression models, are considered. Methods of evaluation for models of default over time are proposed. A sample of retail credits, provided by a Polish financial institution, was empirically examined.(original abstract)

Jednym z podstawowych zadań instytucji kredytowych jest ocena ryzyka kredytowego, którego podstawowym elementem jest ocena niewypłacalności kredytobiorcy. Wielkość portfela kredytowego może zmniejszać się w czasie z powodu nie tylko wystąpienia niewypłacalności, ale również wcześniejszych spłat kredytów. Zmienia to prawdopodobieństwo niewypłacalności w kolejnych okresach. Szacując prawdopodobieństwo niewypłacalności, należy więc uwzględnić prawdopodobieństwo wcześniejszych spłat w kolejnych okresach, co można osiągnąć za pomocą modeli zdarzeń konkurujących. W badaniu do oceny ryzyka niewypłacalności zaproponowano wybrane modele regresji dla zdarzeń konkurujących. Rozważane są modele: hazardu według przyczyny, hazardu subrozkładu, mieszanki modeli (podejście horyzontalne i wertykalne) oraz modele uogólnionych równań estymacyjnych GEE dla pseudoobserwacji. Badanie empiryczne przeprowadzono na próbie portfela kredytów udzielonych przez jedną z instytucji finansowych w Polsce.(abstrakt oryginalny)

Słowa kluczowe

EN

Cox proportional hazard model; Event study; Credit risk; Econometrics

PL

Model proporcjonalnego hazardu Coxa; Analiza zdarzeń; Ryzyko kredytowe; Ekonometria

• Czasopismo: Ekonometria / Uniwersytet Ekonomiczny we Wrocławiu
• Rocznik: 2019
• Tom: 23
• Numer: nr 2
• Strony: 99--120

Twórcy

autor

Ewa Wycinka

• University of Gdansk, Poland

Bibliografia

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Identyfikatory

DOI

10.15611/eada.2019.2.07