作者检验了资产支持贷款违约概率的概念。与无担保贷款相反,违约概率可以定义为借款人未能支付所需款项的可能性,或丧失抵押品赎回权时抵押品价值不足的可能性。假设预期损失在两个定义下都是相同的,这意味着对应的违约损失率定义对。行业对资产支持贷款违约概率的处理似乎不一致地混合了这两种定义。作者提出了一种资产支持贷款的数学处理方法,它在一个框架中一致地应用每一种定义,以产生相同的预期损失,并允许在两个框架之间进行转换。
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英文标题:
《The Meaning of Probability of Default for Asset-backed Loans》
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作者:
David Chisholm, Graham Andersen
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最新提交年份:
2013
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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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英文摘要:
The authors examine the concept of probability of default for asset-backed loans. In contrast to unsecured loans it is shown that probability of default can be defined as either a measure of the likelihood of the borrower failing to make required payments, or as the likelihood of an insufficiency of collateral value on foreclosure. Assuming expected loss is identical under either definition, this implies a corresponding pair of definitions for loss given default. Industry treatment of probability of default for asset-backed loans appears to inconsistently blend the two types of definition. The authors develop a mathematical treatment of asset-backed loans which consistently applies each type of definition in a framework to produce the same expected loss and allows translation between the two frameworks.
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