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Assessing bank's default probability using the ASRF model 1.0
File ID: 83631






Assessing bank's default probability using the ASRF model 1.0
Download Assessing bank's default probability using the ASRF model 1.0http://www.mathworks.comReport Error Link
License: Shareware
File Size: 10.0 KB
Downloads: 20
User Rating:5 Stars  (1 rating)
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Assessing bank's default probability using the ASRF model 1.0 Description
Description: The codes follow the paper Radkov P. and Minkova L. (2011) "Assessing bank's default probability using the ASRF model", Serials Publications' IJTMM, to derivation of implied default probabilities from the Vasicek model (asymptotic single risk factor model) and Basel 2 framework. The method for measuring probability of default is very simple and easy to implement in the both cases when we use the capital ratio from balance sheet data (public available information) and the capital ratio from supervisory authorities (non-public information).

Once we know the implied probability of default we could get the following: 1. Find out the loss distribution via Monte Carlo simulations; 2. Find out the expected loss which should be coved by provisions and write-offs. 3. Make simulations and stress tests what will happen if the probability of default rose sharply for one bank or for the total banking system.

License: Shareware

Related: nonpublic, authorities, monte, Distribution, supervisory, Information, balance, Ratio

O/S:BSD, Linux, Solaris, Mac OS X

File Size: 10.0 KB

Downloads: 20



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