資源描述：
《畢博上海銀行咨詢credit risk mgmt sys analytics default modeling》由會員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在行業(yè)資料-天天文庫。
1、DefaultModelingandCreditGradingPreparedproperly,acreditscoreorriskgradeforaborrowerwillprovideasufficientstatisticforevaluatingthelikelihoodofdefaultoverachosentimeintervalsuchasayear.Thispaperdiscussesthestepsinvolvedindevelopingadefaultmodelthatallowsfor
2、suchcreditgrading.Wedistinguish3essentialsteps,namely·Specifyingalogicallysoundmodel·Estimatingthemodel’sparameters·Testingforecastingperformance.Wedescribeeachofthesestepsbelow.Wepresentthestepsintheirusualorder,thoughtheactualprocessmayinvolvemorethanone
3、passthroughthesequence.Initialempiricalresultsoftenmotivatechangestoamodel.Wheneverpossible,webelievethatcreditratingsshouldderivefromanempiricalstudyofthefactorsaffectingdefaultrisk.Weexpectthatbothnumerical,financialmeasuresandcategorical,subjectiveonesw
4、illhelpexplaindefault.Ineithercase,we’llmakeeveryefforttoassessavariable’sinfluencethroughstatisticalestimationandtesting.Thisempiricalapproachcontrastswithschemesthatconsolidateaseriesofjudgmentalevaluationsusingjudgmentalweights.Westronglybelieveinstatis
5、ticalestimation,sinceotherwiseonehasnofirmbasisforclaimingthatacreditscorehasmorepredictivepowerthanarandom-numbergenerator.Observethatifratingsderivefromastatisticaldefaultmodel,onehasmoreflexibilityandgranularitythanofferedbyasmallsetofdiscreteriskgrades
6、.Forsomepurposessuchasmigrationanalysisorlimitsetting,onemightwanttoclassifytogetherborrowerswithsimilardefaultrates.However,thecontinuousindicatorprovidedbytheempiricalmodelstandsoutasthemoreinformativeriskgradeforaborrower.Wefocushereonborrowerratings.St
7、artingwithaborrowerrating,onemaycharacterizefacilityriskbyappendingdescriptionsofcollateral,covenants,guarantees,amortizationschedules,andotherfeaturesoftheloanagreement.Weprefersuchamultifaceteddescriptionoffacilityrisktoasummaryindicatorthatostensiblyacc
8、ountsforalloftherelevantcharacteristics.Webelievethatinstitutionswillfinditvaluabletokeeprecordsonallofthedistinctfactorsthatinfluenceborrowerandfacilityrisk.Thecreditratingrepresentsbyfarthemostimportantinpu
