.png){kind=icon}
返回
Evaluating credit risk models
.png){kind=icon}
PRE
AI
DOI：10.1016/S0378-4266(99)00055-2.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
Over the past decade, commercial banks have devoted many resources to developing internal models to better quantify their financial risks and assign economic capital. These efforts have been recognized and encouraged by bank regulators. Recently, banks have extended these efforts into the field of credit risk modeling. However, an important question for both banks and their regulators is evaluating the accuracy of a model's forecasts of credit losses, especially given the small number of available forecasts due to their typically long planning horizons. Using a panel data approach, we propose evaluation methods for credit risk models based on cross-sectional simulation. Specifically, models are evaluated not only on their forecasts over time, but also on their forecasts at a given point in time for simulated credit portfolios. Once the forecasts corresponding to these portfolios are generated, they can be evaluated using various statistical methods. (C) 2000 Elsevier Science B.V. All rights reserved. JEL classification: G2; G28; C52.
Keyword:
credit risk models
bank regulation
forecast evaluation
期刊
J
IF:
3.8
论文数:
6.4K
被引数:
2.4W
机构
暂无机构信息
.png){kind=icon}
查看更多内容