英文标题：
《Regulatory Capital Modelling for Credit Risk》
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作者：
Marek Rutkowski and Silvio Tarca
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最新提交年份：
2016
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英文摘要：
The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk plays an important role in protecting the Australian banking sector against insolvency. We outline the mathematical foundations of regulatory capital for credit risk, and extend the model specification of the IRB approach to a more general setting than the usual Gaussian case. It rests on the proposition that quantiles of the distribution of conditional expectation of portfolio percentage loss may be substituted for quantiles of the portfolio loss distribution. We present a more economical proof of this proposition under weaker assumptions. Then, constructing a portfolio that is representative of credit exposures of the Australian banking sector, we measure the rate of convergence, in terms of number of obligors, of empirical loss distributions to the asymptotic (infinitely fine-grained) portfolio loss distribution. Moreover, we evaluate the sensitivity of credit risk capital to dependence structure as modelled by asset correlations and elliptical copulas. Access to internal bank data collected by the prudential regulator distinguishes our research from other empirical studies on the IRB approach.
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中文摘要：
巴塞尔II内部评级法（IRB）对信贷风险资本充足率的评估在保护澳大利亚银行业免于破产方面发挥着重要作用。我们概述了信用风险监管资本的数学基础，并将IRB方法的模型规范扩展到比通常的高斯情况更一般的情况。它基于这样一个命题，即投资组合损失百分比的条件期望分布的分位数可以替代投资组合损失分布的分位数。在较弱的假设下，我们给出了一个更经济的证明。然后，构建一个代表澳大利亚银行业信用风险敞口的投资组合，我们测量经验损失分布与渐近（无限细粒度）投资组合损失分布的收敛速度，即债务人数量。此外，我们还评估了信贷风险资本对资产相关性和椭圆连接函数所模拟的依赖结构的敏感性。对审慎监管机构收集的内部银行数据的访问，使我们的研究有别于IRB方法的其他实证研究。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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