Validation of loss given default in the advanced IRB approach
Main Article Content
Abstract
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, like
Kendall ad Somers statistics and non-binary receiver operation characterisc (ROC). An estimation methodology for Downturn LGD is proposed, having as foundation a correlation adjustment derived
from expected loss and ordination of quantiles of the forecasted LGD distribution according to the dependence level for different credit portfolios.
Kendall ad Somers statistics and non-binary receiver operation characterisc (ROC). An estimation methodology for Downturn LGD is proposed, having as foundation a correlation adjustment derived
from expected loss and ordination of quantiles of the forecasted LGD distribution according to the dependence level for different credit portfolios.
Article Details
Section
Long Paper
Authors that publish in the Brazilian Review of Finance agree with the following terms:
Authors maintain their moral rights and grant to Review the copyright and the first publication right with their work simultaneously licensed under a Creative Commons Attribution 3.0 License that allows the total or partial copy of the work, including for commercial use, and sharing of the work with recognition of its authors and the initial publication in this journal.
Authors are allowed to take additional contracts separately for non-exclusive distribution of the paper published in this journal (eg, in institutional repositories or to publish as a book chapter), with recognition of its authors and the initial publication in this journal.
Authors are permitted and encouraged to post their work online (eg, in institutional repositories or on their website) at any point before or during the submission process, as this can lead to productive exchanges, as well as increase the impact and citation of the published work.
The contents of the signed articles are the sole responsibility of the authors, remains their responsibility even after the transfer of the copyright. The Review reserves the right to make normative, spelling and grammar changes in the original article in order to maintain the linguistic standards, but will follow the style of the authors. RBFin also reserves the right to translate the article into another language. RBFin may impose a copyright transfer form as a condition for publishing the article.
