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- Title
Validação da Perda Dado o Descumprimento na Abordagem IRB Avançada.
- Authors
Fernandes Sanches, Guilherme; Portela Santos, André Alves
- 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 nonbinary receiver operation characteristic (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.
- Publication
Brazilian Review of Finance / Revista Brasileira de Finanças, 2016, Vol 14, Issue 2, p299
- ISSN
1679-0731
- Publication type
Article
- DOI
10.12660/rbfin.v14n2.2016.60908