Munich Personal RePEc Archive

Loan portfolio loss distribution: Basel II unifactorial approach vs. Non parametric estimations

Rodríguez Dupuy, Analía (2007): Loan portfolio loss distribution: Basel II unifactorial approach vs. Non parametric estimations.

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Abstract

This paper analyzes the measurement of credit risk capital requirements under the new Basel Accord (Basel II): the Internal Rating Based approach (IRB). It focuses in the analytical formula for its calculation, since its derivation to the main assumptions behind it. We also estimate the credit loss distribution for the Uruguayan portfolio in the period 1999-2006, using a non parametric technique, the bootstrap. Its main advantage is that we don’t need to make any assumptions about the form of the distribution. Finally, we compare the requirements obtained using the IRB with the estimated ones, as an approximation of the application of the IRB in the Uruguayan financial system.

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