ARTÍCULO
TITULO

Validation of loss given default in the advanced IRB approach

Guilherme Fernandes Sanches    
André Alves Portela Santos    

Resumen

The goal of our paper is to contribute to the discussion about the most important aspects of the loss given default validation process, with special attention to the brazilian case, as the Central Bank of Brazil determines in Circular no 3.648/2013. The authors suggest the application of a few non-linear statistical measures to the study of dependence between default frequency and loss given default, likeKendall ad Somers statistics and non-binary receiver operation characterisc (ROC). An estimation methodology for Downturn LGD is proposed, having as foundation a correlation adjustment derivedfrom expected loss and ordination of quantiles of the forecasted LGD distribution according to the dependence level for different credit portfolios.

Palabras claves

PÁGINAS
pp. 299 - 321
MATERIAS
ECONOMÍA
REVISTAS SIMILARES

 Artículos similares