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| Identificatore numerico | 2557 |
| Identificatore completo | AllenSaunders03 |
| Autore/i | Allen, L.; Saunders, A. |
| Anno | 2003 |
| Titolo | A survey of cyclical effects in credit risk measurement models |
| Tipo di Pubblicazione | paper |
| Altre Informazioni | Bank for International Settlements, Working Papers, Basel, No. 126, January Web Download. |
| Keywords | Rischio di credito - LGD; Rischio di credito - Correlazione tra insolvenze; Rischio di credito - procyclicality |
| Abstract | We survey both academic and proprietary models to examine how macroeconomic and systematic risk effects are incorporated into measures of credit risk exposure. Many models consider the correlation between the probability of default (PD) and cyclical factors. Few models adjust loss rates (loss given default) to reflect cyclical effects. We find that the possibility of systematic correlation between PD and LGD is also neglected in currently available models. |
| Importanza | media |
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