Detail publikace

A Note on the Vasicek’s Model with the Logistic Distribution

Autor: RNDr. Jiří Witzany Ph.D.,
Typ: IES Working Papers
Rok: 2013
Číslo: 1
Publikováno v: IES Working Papers 1/2013
Místo vydání: Prague
Klíčová slova: credit risk, Basel II regulation, default rates
JEL kódy: G20, G28, C51
Citace: Witzany, J. (2013). “ A Note on the Vasicek’s Model with the Logistic Distribution” IES Working Paper 1/2013. IES FSV. Charles University.
Abstrakt: The paper argues that it would be natural to replace the standard normal distribution function by the logistic function in the regulatory Basel II (Vasicek’s) formula. Such a model would be in fact consistent with the standard logistic regression PD modeling approach. An empirical study based on US commercial bank’s loan historical delinquency rates re-estimates the default correlations and unexpected losses for the normal and logistic distribution models. The results indicate that the capital requirements could be up to 100% higher if the normal Vasicek’s model was replaced by the logistic one.
Ke stažení: WP_2013_Witzany




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