A dynamic Bayesian approach for probability of default and stress test
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Taeyoung | - |
dc.contributor.author | Park, Yousung | - |
dc.date.accessioned | 2021-08-30T15:12:04Z | - |
dc.date.available | 2021-08-30T15:12:04Z | - |
dc.date.created | 2021-06-18 | - |
dc.date.issued | 2020-09 | - |
dc.identifier.issn | 2287-7843 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/53272 | - |
dc.description.abstract | Obligor defaults are cross-sectionally correlated as obligors share common economic conditions; in addition obligors are longitudinally correlated so that an economic shock like the IMF crisis in 1998 lasts for a period of time. A longitudinal correlation should be used to construct statistical scenarios of stress test with which we replace a type of artificial scenario that the banks have used. We propose a Bayesian model to accommodate such correlation structures. Using 402 obligors to a domestic bank in Korea, our model with a dynamic correlation is compared to a Bayesian model with a stationary longitudinal correlation and the classical logistic regression model. Our model generates statistical financial statement under a stress situation on individual obligor basis so that the genearted financial statement produces a similar distribution of credit grades to when the IMF crisis occurred and complies with Basel IV (Basel Committee on Banking Supervision, 2017) requirement that the credit grades under a stress situation are not sensitive to the business cycle | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | KOREAN STATISTICAL SOC | - |
dc.subject | INFERENCE | - |
dc.title | A dynamic Bayesian approach for probability of default and stress test | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Park, Yousung | - |
dc.identifier.doi | 10.29220/CSAM.2020.27.5.579 | - |
dc.identifier.scopusid | 2-s2.0-85095594449 | - |
dc.identifier.wosid | 000580627300007 | - |
dc.identifier.bibliographicCitation | COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS, v.27, no.5, pp.579 - 588 | - |
dc.relation.isPartOf | COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS | - |
dc.citation.title | COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS | - |
dc.citation.volume | 27 | - |
dc.citation.number | 5 | - |
dc.citation.startPage | 579 | - |
dc.citation.endPage | 588 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.identifier.kciid | ART002634372 | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordPlus | INFERENCE | - |
dc.subject.keywordAuthor | Bayesian model | - |
dc.subject.keywordAuthor | dynamic longitudinal correlation | - |
dc.subject.keywordAuthor | probability of default | - |
dc.subject.keywordAuthor | stress test | - |
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