IDEAS home Printed from https://ideas.repec.org/p/uts/ppaper/2007-2.html
   My bibliography  Save this paper

Multi-Year Dynamics for Forecasting Economic and Regulatory Capital in Banking

Author

Abstract

The determination of future credit loss distributions constitutes a fundamental challenge in many credit risk applications such as the calculation of economic and regulatory capital as well as the pricing of loans, portfolios or derivatives thereof. Currently, best practice is to assume a one-year risk horizon for the derivation of the credit loss distribution. However, the maturities of most credit risky products exceed one year and the credit loss of the whole product life has to be taken into account. The present article investigates the impact of multi-year forecasts of credit risk parameters such as probabilities of default and correlations on the distribution of future losses to a credit portfolio. Moreover, the implications are demonstrated for collateralized debt obligations.

Suggested Citation

  • Daniel Roesch & Harald Scheule, 2007. "Multi-Year Dynamics for Forecasting Economic and Regulatory Capital in Banking," Published Paper Series 2007-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    • Handle: RePEc:uts:ppaper:2007-2
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Orth, Walter, 2013. "Multi-period credit default prediction with time-varying covariates," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 214-222.
    2. Orth, Walter, 2011. "Multi-period credit default prediction with time-varying covariates," MPRA Paper 30507, University Library of Munich, Germany.
    3. Peter Grundke & Kamil Pliszka, 2018. "A macroeconomic reverse stress test," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 1093-1130, May.
    4. Lee, Yongwoong & Rösch, Daniel & Scheule, Harald, 2016. "Accuracy of mortgage portfolio risk forecasts during financial crises," European Journal of Operational Research, Elsevier, vol. 249(2), pages 440-456.

    More about this item

    Keywords

    Business Cycle; Correlation; Credit Risk; Basel II; Point-in-Time; Portfolio; Through-the-Cycle;
    All these keywords.

    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:uts:ppaper:2007-2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Duncan Ford (email available below). General contact details of provider: https://edirc.repec.org/data/sfutsau.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.