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“Estimation of Probability of Defaults (PD) for (u201C估计违约概率(PD))
“Estimation of Probability of Defaults (PD) for Low Default
Portfolios: An Actuarial Approach”
Nabil Iqbal & Syed Afraz Ali
January 2012
Abstract:
Global financial crises like the one recently experienced, affected both large and
small institutions. Today, when there is heightened need for enhanced risk
management tools, there are entities that are unable to employ sophisticated
mechanisms due to limited data availability. Moreover, from the Basel II and Basel
III point of view, Internal Ratings Based Approach requires that institutions have
some reliable estimates of probabilities of default for each rating grade. Taking the
work of previous researches a step further, this paper intends to propose a new
dynamic mechanism to the risk management industry for calculating probabilities
of default (PD). Through this, we calculate the realized probability of defaults and
Bayesian estimates in the initial phase and then using these estimates as inputs
for the core model, we generate Implied Probability of Default (PD) through
actuarial estimation tools and different probability distributions. This mechanism
is specialized to work best for Low Default Portfolios (LDPs). Furthermore, scenario
testing is adopted to validate the model against any model specific bias.
Key Words: Probability of Defaults (PDs), Realized PDs, Bayesian Estimates,
Probability Distributions
Copyright © 2012 Nabil Iqbal & Syed Afraz Ali. No part of this publication may be reproduced, stored in a retrieval system, used in a
spreadsheet, or transmitted in any form or by any means—electronic, mechanical, photocopying, recording, or otherwise—without the
permission of the authors.
Authors’ Introdu
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