Nguyen, Van Phuong (2019): Developing, Validating, and Monitoring a PD Model for Foundation IRB Approach.
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Abstract
Assuming that a given bank wants to comply with the Basel Accord requirements, in particular the Foundation IRB approach. Accordingly, it has to develop a PD model to predict the probability of default of its borrower within one year. Hence, this paper aims to present a simply empirical procedure for developing, validating, and monitoring a PD model.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Developing, Validating, and Monitoring a PD Model for Foundation IRB Approach |
| Language: | English |
| Keywords: | \textbf{Keywords:} Basel Accord II, Loss Distribution, Expected Loss, Unexpected Loss, Risk Components, VaR, CAR, Model Validation and Monitoring, AUROC, CAP, PSI. |
| Subjects: | G - Financial Economics > G0 - General > G00 - General G - Financial Economics > G1 - General Financial Markets > G10 - General G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions G - Financial Economics > G2 - Financial Institutions and Services > G20 - General G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages |
| Item ID: | 100628 |
| Depositing User: | Mr Phuong Nguyen Van |
| Date Deposited: | 29 May 2020 14:03 |
| Last Modified: | 29 May 2020 14:03 |
| References: | BCBS (2005a). An Explanatory Note on the Basel II IRB Risk Weight Functions. Bank for International Settlements Papers. |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/100628 |
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