Conservative Estimation of Default Rate Correlations

The CreditRisk+ model is one of the industry standards for the valuation of default risk in credit loans portfolios. The calibration of CreditRisk+ requires, inter alia, the specification of the parameters describing the structure of dependence among default events. This work addresses the calibration of these parameters. In particular, we study the dependence of the calibration procedure on the sampling period of the default rate time series, that might be different from the time horizon onto which the model is used for forecasting, as it is often the case in real life applications. The case of autocorrelated time series and the role of the statistical error as a function of the time series period are also discussed. The findings of the proposed calibration technique are illustrated with the support of an application to real data.

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What’s Behind—and Beyond—the Default Rate on Student Loans?

10.20955/es.2014.14 ◽

2014 ◽

Vol 2014 (14) ◽

Author(s):

Alexander Monge-Naranjo

Keyword(s):

Student Loans ◽

Default Rate

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One-factor model for default rates by loan type

Bankarstvo ◽

10.5937/bankarstvo2102088b ◽

2021 ◽

Vol 50 (2) ◽

pp. 88-100

Author(s):

Miloš Božović

Keyword(s):

Factor Model ◽

Risk Measures ◽

Loan Default ◽

Macroeconomic Risk ◽

Default Rates ◽

Proposed Model ◽

Default Rate ◽

Systemic Component ◽

Very High

This paper investigates the link between default rates by loan types and the systemic credit risk component. This link is described by a linear model that combines systemic and idiosyncratic contributions. The systemic component is a latent factor that depends directly on the aggregate loan default rate, while the idiosyncratic component drives specific variations of default rates across loan types. By transforming observable risk measures, the model can be econometrically represented as a mixed-effects model, where the systemic and idiosyncratic components represent, respectively, the slope and the intercept that are specific for each loan type individually. The proposed model is illustrated on a panel of defaulted loans of the Association of Serbian Banks. The obtained results show the model's very high power in explaining average default rates for all loan types. Thus, the aggregate default rate plays the role of a unique systemic component that mimics the influence of fundamental macroeconomic risk factors easily, without the necessity to model this relationship explicitly.

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DETERMINANTS OF SHARIA BANKING MARKET SHARE GROWTH IN INDONESIA

Airlangga International Journal of Islamic Economics and Finance ◽

10.20473/aijief.v1i2.20805 ◽

2020 ◽

Vol 1 (2) ◽

pp. 87

Author(s):

Nizar Hosfaikoni Hadi ◽

Muh. Khairul Fatihin

Keyword(s):

Interest Rates ◽

Market Share ◽

Financial Services ◽

Research Data ◽

Islamic Banking ◽

Islamic Banks ◽

Profit Rate ◽

Banking Market ◽

Banking Markets ◽

Default Rate

AbstractThe purpose of this paper is to investigate the variables that influence Islamic banking markets in Indonesia. The research data were obtained directly from the website of the Central Statistics Agency (BPS) and the financial services authority(OJK) from 2011-2018 which were taken on a quarterly basis. This study uses multiple regression analysis to analyze the factors that have an impact on the market share of Islamic banks in Indonesia. The variable that can affect Islamic banking marketshare in Indonesia is the liquidity ratio (FDR). While other variables such as the default rate (NPF), profit rate (ROA), economic growth (GDP) and conventional bank interest rates (INT) do not affect Islamic banking. The results suggest that Islamic banking regulates liquidity ratios (FDR) so that Islamic banking can effectively increase its market. This study complements previous research so that Islamic banking maintains a liquidity ratio in order to remain balanced.Keywords: marketshare, Islamic banking, FDR, GDP, ROA

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Quantification of conservative endurance times in thermally insulated cold-stressed digits

Journal of Applied Physiology ◽

10.1152/jappl.1991.71.6.2528 ◽

1991 ◽

Vol 71 (6) ◽

pp. 2528-2535 ◽

Cited By ~ 24

Author(s):

A. Shitzer ◽

L. A. Stroschein ◽

W. R. Santee ◽

R. R. Gonzalez ◽

K. B. Pandolf

Keyword(s):

Cold Stress ◽

Thermal Insulation ◽

Heat Generation ◽

Blood Perfusion ◽

Measured Data ◽

Cold Weather ◽

Maximum Deviation ◽

Conservative Estimation ◽

Environmental Temperatures ◽

Volumetric Heat Generation

The estimation of endurance times of the digits exposed to cold weather is performed by an analytical, one-dimensional cylindrical model. Blood perfusion effects are lumped into a volumetric heat-generation term. Cold-induced vasodilatation (CIVD) effects are not included in the present analysis. Endurance times, defined by a drop in cylinder tip temperature to 5 degrees C, were evaluated. Parameters included in this evaluation were 1) environmental temperatures, 2) thermal insulation applied on the cylinder, 3) length of the cylinder, and 4) diameter of the cylinder. It was found that the lower the ambient temperature, the longer the finger, and the smaller its diameter, then the shorter the endurance time for the same thermal insulation. Results of the model were compared with measured data for a subject not exhibiting CIVD response to cold stress. Conformity of results calculated for an adjusted value of the volumetric heat-generation term and measured data was very good, with a maximum deviation of less than 10% at only one particular point in time. This model facilitates the conservative estimation of lower bounds to thermally insulated fingers and toes exposed to cold stress.

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