商業信貸風險參數計算(pdf 74頁)

Introduction ……1
1 Estimating Probability of Default ……6
1.1 The Definition of Probability of Default ……. . 7
1.2 Construction of the Lorenz Curve ……. . . . . . 11
1.3 Properties of the Lorenz Curve ……. . . . . . . 18
1.4 Examples of Invariancies ……. . . . . . . . . . . 21
1.5 Implementation ……. . . . . . . . . . . . . . . . 27
1.6 Fitting the Lorenz Curve ……. . . . . . . . . . 31
1.7 Measuring Errors ……. . . . . . . . . . . . . . . 33
2 Estimating Loss Given Default 35
2.1 Definition of Loss Given Default ……. . . . . . 36
2.2 Modelling the Decay of Special Provision Cohorts . . . . . . . . . . . . . . . 37
2.3 Averaging over Several Cohorts ……. . . . . . . 41
2.4 Error Calculation ……. . . . . . . . . . . . . . . 44
3 Towards Estimating Unexpected Loss 47
3.1 The Loss of Memory Property of Ratings ……. 47
3.2 The Loss of Memory Property Exploited ……. . 49
3.3 The Retail Poisson Model ……. . . . . . . . . . 52
3.4 Application of the Model ……. . . . . . . . . . 58
3.5 Calculating Loss Distributions ……. . . . . . . . 59
Summary and Outlook ……67
Bibliography ……67
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