Correlaciones entre incumplimiento y recuperación - un enfoque economßtrico dinámico


En los modelos de riesgo de crßdito, la severidad de la pßrdida (LGD)1 se incorpora o bien de forma determinística (como en Credit Risk+) o bien de forma estocástica (como en CreditMetrics). En el segundo caso, la LGD puede obtenerse de una distribución beta.2 En ninguno de los dos casos se considera correlación alguna entre incumplimiento y LGD.

En los recesos económicos, no sólo aumentan las probabilidades de incumplimiento (PD), sino que tambißn disminuyen las tasas de recuperación. Este

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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