Applying Portfolio Credit Risk Models to Retail （将投资组合信用风险模型应用于零售）.pdf

Applying Portfolio Credit Risk Models to Retail Portfolios Nisso Bucay and Dan Rosen We present a simulation-based model to estimate the credit loss distribution of retail loan portfolios and apply the model to a sample credit card portfolio of a North American financial institution. Within the portfolio model, we test three default models that describe the joint behavior of default events. The first model is purely descriptive in nature while the other two models are causal models of portfolio credit risk, where the influence of the economic cycle is captured through the correlations of default rates to various macroeconomic factors. The results obtained using all three default models are very similar when they are calibrated to the same historical data. In addition to measuring expected and unexpected losses, we demonstrate how the model also allows risk to be decomposed into its various sources, provides an understanding of concentrations and can be used to test how various economic factors affect portfolio risk. In recent years, several methodologies for consistent (Crouhy and Mark 1998; measuring portfolio credit risk have been Gordy 2000). introduced that demonstrate the benefits of using A limitation these credit risk models share is the internal models to measure credit risk in the banking book. These models measure economic assumption that, during the period of analysis, credit capital and are specifically designed to market risk factors, such as interest rates, are capture portfolio effects and account for obligor constant. While this assumption is not a major default correlatio