Assessing bank's default probability using the ASRF model

Radkov, Petar and Minkova, Leda (2011): Assessing bank's default probability using the ASRF model. Published in: International Journal of Technology Modeling and Management , Vol. 2, No. 2011, 2 (1), 29–34 (25 June 2011)

Abstract

In this paper it is shown how a Vasicek-model approach and the assumptions in Basel 2 regulatory framework can be used to develop measures of the probability of banks' failure. The Basel 2 framework is based on a Vasicek-model approach. The estimation of the propose measure of bank probability of default could be made over the capital ratio from supervisory authorities (non-public information) or over the capital ratio from balance sheet data (public available information).

• Item Type: MPRA Paper
• Language: English
• Keywords: Vasicek model, ASRF model, Basel 2, banks' probability of default
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General; ; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C26 - Instrumental Variables (IV) Estimation; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages; G - Financial Economics > G2 - Financial Institutions and Services > G28 - Government Policy and Regulation

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