Μέθοδοι εκτίμησης της πιθανότητας αθέτησης για οφειλέτες υψηλής φερεγγυότητας
Default probability estimation techniques for high credibility obligors
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Keywords
Χαρτοφυλάκια υψηλής φερεγγυότητας ; Προσέγγιση Bayes ; Καμπύλη CAPAbstract
The term low default portfolios is used to describe loan portfolios in which a small or even zero number of defaults has occurred. Due to this property, it is difficult to estimate the default probability on low default portfolios. In the present master thesis, we first introduce some basic concepts and explain why the most popular statistical models cannot be used in these portfolios. We present in detail how to estimate the default probability through the most prudent estimation and the Bayesian approach. In addition, we present the power curve, which is commonly used to calibrate the model, and illustrate how we can use it to
estimate the probability of default. Finally, we perform a simulation study in order to evaluate the effectiveness of the methods presented in this thesis.