Default Probability, Loss Given Default, and Credit Portfolio Models

2015 ◽  
Keyword(s):  
Default Probability ◽  
Loss Given Default ◽  
Credit Portfolio

scholarly journals The Credit Asset of Enterprise Accounts Receivable Pricing Model

Complexity ◽  
2018 ◽  
Vol 2018 ◽  
pp. 1-16
Author(s):  
Deshun Xu ◽  
Junhai Ma
Keyword(s):  
Intrinsic Value ◽  
Default Probability ◽  
Financial Indicators ◽  
Pricing Model ◽  
Loss Given Default ◽  
Accounts Receivable ◽  
Kmv Model ◽  
Management Technology ◽  
Overall Evaluation ◽  
Control Management

Based on the thinking of holism and reductionism, this paper creatively constructed the credit asset pricing model of enterprises’ accounts receivable, namely, the BEST pricing model, and it was demonstrated effectively. The model gave an overall evaluation on the default probability of buyer and environment, as well as buyer loss given default resulting from the factors including Seller (S), Buyer (B), and Environment (E). The model is also utilized with the optimal control management Technology (T) to maximize the intrinsic value of the credit asset. The paper put forward the Duration of accounts receivable aging, measurement method of dynamic free interest rate, and amended the KMV model to solve the default probability of accounts receivable of listed and nonlisted companies. To evaluate the credit asset risk, the following were selected: three effective financial indicators, seven nonfinancial index clusters, and sixty-three specific nonfinancial index variables of the buyer; one index and eight specific indicators of the seller; and one index and fourteen specific indicators of nonsystematic risk of the environment. Five appropriate hedge parameters are used to control the risk.

scholarly journals Determination of Default Probability by Loss Given Default

2015 ◽  
Vol 26 ◽  
pp. 411-417 ◽  
Author(s):  
Maria Misankova ◽  
Erika Spuchľakova ◽  
Katarina Frajtova – Michalikova
Keyword(s):  
Default Probability ◽  
Loss Given Default

T-Vasicek Credit Portfolio Loss Distribution

2018 ◽  
Keyword(s):  
Default Probability ◽  
Additional Parameter ◽  
Fat Tails ◽  
Probability Estimate ◽  
Loss Distribution ◽  
Uncertainty Factor ◽  
Portfolio Loss Distribution ◽  
Credit Portfolio ◽  
Portfolio Loss ◽  
T Distribution

We derive and discuss a new analytical credit loss distribution. This new model, T-Vasicek, is a variant of the well-known and highly useful Vasicek distribution. We inject a t-distribution extension into Vasicek that preserves the analytical convenience of Vasicek while providing a richer credit loss framework with fat tails and an additional user-specified parameter. This additional parameter is directly tied to the t-distribution and represents the uncertainty in the default probability estimate. The classical Vasicek limit, then, is the case in which the analyst knows the pool default probability with certainty. We show how one may impose desired correlation among all debt instruments in the t-distribution framework. We derive closed-form, numerical, and analytical forms for T-Vasicek and check the numerical results with Monte Carlo simulation. We also determine suitable maximum likelihood estimators for the T-Vasicek parameters of default probability (PD), correlation (ρ), and PD-uncertainty factor (ν).

Loss distribution of systemic defaults in different interbank networks

2016 ◽  
Vol 27 (10) ◽  
pp. 1650121 ◽  
Author(s):  
Shouwei Li ◽  
Jianmin He
Keyword(s):  
Network Structure ◽  
Small World ◽  
Default Probability ◽  
Random Networks ◽  
Interbank Market ◽  
Small World Networks ◽  
Loss Distribution ◽  
Loss Given Default ◽  
Scale Free ◽  
The Impact

We analyze the impact of the network structure, the default probability and the loss given default (LGD) on the loss distribution of systemic defaults in the interbank market, where network structures analyzed include random networks, small-world networks and scale-free networks. We find that the network structure has little effect on the shape of the loss distribution, whereas the opposite is true to the default probability; the LGD changes the shape of the loss distribution significantly when default probabilities are high; the maximum of the possible loss is sensitive to the network structure and the LGD.

Aplication of Quantitative and Qualitative Methods in Risk Management of Credit Portfolio in the Conditions of the Banking System of the Republic of Tajikistan

2013 ◽  
Vol 8 (3) ◽  
pp. 249-268
Author(s):  
Basgul Fajzullohonovna Isupova
Keyword(s):  
Risk Assessment ◽  
Risk Management ◽  
Qualitative Methods ◽  
Banking System ◽  
Potential Losses ◽  
The Republic ◽  
Credit Portfolio ◽  
Quantitative And Qualitative Methods ◽  
Coefficient Method

In this article, an analysis of the fundamental methods of risk assessment and risk management of credit portfolio is conducted. In particular, complex and qualitative methods of risk management of credit portfolio studied in details, namely analytical, statistical and coefficient methods. Based on the coefficient method the author proposes a number of standards for the assessment of potential losses in credit activity. 

Sign in / Sign up

Export Citation Format

Share Document