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| Title: | 違約戶稀少時之估計條件違約機率
Estimating Conditional PD when Defaults Number is Small |
| Authors: | 唐延新
Tang,yan hsin |
| Contributors: | 劉惠美
陳麗霞
唐延新
Tang,yan hsin |
| Keywords: | 巴賽爾資本協定
違約機率
ROC曲線
Basel II
default probability
ROC curve |
| Date: | 2009 |
| Issue Date: | 2013-09-05 16:09:33 (UTC+8) |
| Abstract: | 新版巴賽爾資本協定的內部評等法中，銀行可自行對借貸戶進行評分，並且根據
評分估算信用風險以提領準備金，因此估算借貸戶評分分數的違約機率(PD)是相當
重要的一環。過去估算違約機率的研究中，大多假定評分分數為離散型式，本文針對
評分分數為連續形式時，提出一種利用曲線函數來配適估計模型。估計模型是使用伽
瑪的截尾分配去配適ROC曲線函數，再利用此ROC曲線函數來估計各評分分數下的
違約機率P(D|S)，在伽瑪分配中的兩參數則是用兩階段的方法求解。本文所提的估
計方法並無假設評分分數的分配，因此在數值方法中使用不同的分配、參數設定、違
約機率等，來驗證此方法的準確度與穩定度，並且與Van der Burgt (2008)、Tasche(2009)的估計方法比較。
By the internal rating-based approach of Basel II, banks estimate borrowers` default risks to withdraw reserves independently. Hence, estimating default probability (PD) of borrowers is important. Most of previous studies estimating PD assume that evaluation scores are discrete, In this study, we use curve function to fit estimation model in the condition that the evaluation scores are continuous
. We use truncated gamma distribution to fit ROC curve function. And we use the ROC curve function to estimate PD of different scores. And use two-step method to find the value of two parameters in gamma distribution. The estimation method in this study doesn`t assume the distribution of estimation scores,so we use different distributions, parameters, and default probabilities to test the
accuracy and stability of this method. In the end, we also compare our methods with Van der Burgt (2008) and Tasche (2009)` methods. |
| Reference: | Benjamin, N., Cathcart, A., and Ryan, K. (2006), "Low default portfolios: A proposal for conservative estimation of default probabilities"
Dwyer, D. (2006), "The distribution of defaults and Bayesian model validation"
Forrest, A (2005), "Likelihood approaches to low default portfolios."
Kiefer, N.M. (2009), "Default estimation for low-default portfolios"
Pluto, K. and Tasche, D. (2005), "Estimating probabilities of default for low default portfolios"
Tasche, D. (2005), "Rating and probability of default validation"
Tasche, D.(2009), "Estimating discriminatory power and PD curves when the number of defaults is small", Working Paper.
Van der Burgt, M. (2008), \\Calibrating low-default portfolios, using the cumulative accuracy profile" |
| Description: | 碩士
國立政治大學
統計研究所
97354002
98 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0097354002 |
| Data Type: | thesis |
| Appears in Collections: | [統計學系] 學位論文
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| 400201.pdf | | 1194Kb | Adobe PDF2 | 515 | View/Open |
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