A Survey of Cyclical Effects in Credit Risk Measurement Models

A Survey of Cyclical Effects in Credit Risk Measurement Models
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信用风险衡量模型中周期性效应的调查

DOI：
10.2139/ssrn.315561
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发表时间：
2002
期刊：
影响因子：
--
通讯作者：
A. Saunders
A. Saunders
中科院分区：
--
文献类型：
--
作者：
Linda Allen;A. Saunders

文献摘要

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我们调查了学术模型和专有模型，以研究如何将宏观经济和系统风险影响纳入信用风险敞口的衡量标准中。许多模型考虑违约概率（PD）与周期性因素之间的相关性。很少有模型会调整损失率（默认损失）来反映周期性影响。我们发现当前可用的模型也忽略了 PD 和 LGD 之间系统相关的可能性。
We survey both academic and proprietary models to examine how macroeconomic and systematic risk effects are incorporated into measures of credit risk exposure. Many models consider the correlation between the probability of default (PD) and cyclical factors. Few models adjust loss rates (loss given default) to reflect cyclical effects. We find that the possibility of systematic correlation between PD and LGD is also neglected in currently available models.