Communications for Statistical Applications and Methods

  • 제27권5호
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  • Pages.579-588
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  • 2020
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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A dynamic Bayesian approach for probability of default and stress test

  • 투고 : 2020.08.10
  • 심사 : 2020.08.25
  • 발행 : 2020.09.30
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초록

Obligor defaults are cross-sectionally correlated as obligors share common economic conditions; in addition obligors are longitudinally correlated so that an economic shock like the IMF crisis in 1998 lasts for a period of time. A longitudinal correlation should be used to construct statistical scenarios of stress test with which we replace a type of artificial scenario that the banks have used. We propose a Bayesian model to accommodate such correlation structures. Using 402 obligors to a domestic bank in Korea, our model with a dynamic correlation is compared to a Bayesian model with a stationary longitudinal correlation and the classical logistic regression model. Our model generates statistical financial statement under a stress situation on individual obligor basis so that the genearted financial statement produces a similar distribution of credit grades to when the IMF crisis occurred and complies with Basel IV (Basel Committee on Banking Supervision, 2017) requirement that the credit grades under a stress situation are not sensitive to the business cycle.

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참고문헌

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