信用风险模型验证.pptVIP

* For credit risk, a transactional model means any model (statistical, scorecard, expert) which aims to quantify the credit risk (measured through components as Probability of Default, Loss Given Default and Exposure at Default) of a single type of client (e.g. an SME) or product (e.g. a mortgage loan). ? In the context of credit risk, a portfolio model means any model which aims to quantify the risk of a portfolio of individual exposures taking into account correlations between these exposures (e.g. typically economic capital models). * * Default Rate = an observed default percentage (not to be confused with a “default frequency”, which is a natural number rather than a percentage). Central Tendency = the intrinsic long-term average one-year default percentage for a portfolio. Its value is typically estimated based on the long-term (= encompassing multiple economic cycles) average one-year default rate, possibly amended by expert input. Probability of Default = a predicted one-year default percentage for an individual customer, segment of customers or an entire portfolio. Not to be confused with the DR; there is no such thing as an “observed PD”, although the PD is always determined on the basis of DRs. Average PD predicted by a model for a sample. Monotone decreasing: it is difficult to justify that a client with a better score (i.e. for example with better financials) gets a worse PD. However, in some cases one might nevertheless observe that clients with better scores have higher DR’s than clients with lower scores. * Interviews with model users are means to evaluate the day-to-day use of the model. Model users are persons using the model as defined by the policy on model usage, for example in the application process, for provisioning … Benchmarking the modeller’s analysis consists of performing certain modelling steps independently from the modeller. A benchmark can consist of a complete benchmark model (including data collection, single factor analysis