Detailed Information

Cited 0 time in webofscience Cited 0 time in scopus
Metadata Downloads

A dynamic Bayesian approach for probability of default and stress test

Authors
Kim, TaeyoungPark, Yousung
Issue Date
9월-2020
Publisher
KOREAN STATISTICAL SOC
Keywords
Bayesian model; dynamic longitudinal correlation; probability of default; stress test
Citation
COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS, v.27, no.5, pp.579 - 588
Indexed
SCOPUS
KCI
Journal Title
COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS
Volume
27
Number
5
Start Page
579
End Page
588
URI
https://scholar.korea.ac.kr/handle/2021.sw.korea/53272
DOI
10.29220/CSAM.2020.27.5.579
ISSN
2287-7843
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
Files in This Item
There are no files associated with this item.
Appears in
Collections
College of Political Science & Economics > Department of Statistics > 1. Journal Articles

qrcode

Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.

Altmetrics

Total Views & Downloads

BROWSE