Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

PD sign in to follow this
default sign in to follow this
credit sign in to follow this
bank sign in to follow this
estimation sign in to follow this
Categories:

VaR Uses sign in to follow this
--Credit Risk sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Low Default Portfolios: A Proposal for Conservative Estimation of Default Probabilities
Company: Financial Services Authority
Company Url: Click here to open
Year Of Publication: 2006
Month Of Publication: April
Pages: 31
Download Count: 595
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 5-29-2006
Publisher: Administrator
Summary
Low default portfolios are those for which banks have little default history, so that average observed default rates might not be reliable estimators of default probabilities (PDs). A key concern for regulators is that credit risk might be underestimated as a result of data scarcity. This paper proposes a quantitative approach to produce conservative PD estimates. The estimate of portfolio wide PD is determined by the size of the portfolio, the number of observed defaults and the level of confidence that is placed on this empirical evidence. This central PD estimate is then used ot adjust the PDs that the bank's own credit experts will have allocated to individual grades within the portfolio.
Author(s)
Benjamin, Nathanael Sign in to follow this author
Cathcart, Alan Sign in to follow this author
Ryan, Kevin Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile