期望损失的计算：基于参数的期望损失回测 在新巴塞尔协议框架内

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摘要翻译：
信用风险参数的依赖结构是资本消费的一个关键驱动因素，受到监管和科学的关注。然而，在对风险费用进行公平、无偏估计的意义上，参数缺陷对预期损失(EL)质量的影响几乎没有被涵盖。到目前为止，还没有既定的EL回溯测试程序，以量化其在定价或风险调整后的盈利能力措施方面的影响。本文介绍了一种面向实际的、自上而下的评估EL质量的方法，通过适当定义风险度量的回测来评估EL质量。第一步，风险费用（风险成本）的概念必须超越经典的准备金观点，向更充分的资本消耗方法（风险影响，IoR)扩展。在此基础上，将基于参数的EL与实际报告的风险影响之间的差异分解为其关键组成部分。拟议的方法将加深对EL实际属性的理解，将EL与明确定义和可观察的风险度量进行协调，并在即将出台的《国际财务报告准则》第9号贷款损失拨备会计准则与IRBA监管资本要求之间提供联系。无论参数是简单的、基于专家的值还是高度预测性和完全校准的IRBA兼容方法，只要参数和默认识别程序是稳定的，该方法都是稳健的。
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英文标题：
《The Calculus of Expected Loss: Backtesting Parameter-Based Expected Loss
  in a Basel II Framework》
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作者：
Wolfgang Reitgruber
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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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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--

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英文摘要：
  The dependency structure of credit risk parameters is a key driver for capital consumption and receives regulatory and scientific attention. The impact of parameter imperfections on the quality of expected loss (EL) in the sense of a fair, unbiased estimate of risk expenses however is barely covered. So far there are no established backtesting procedures for EL, quantifying its impact with regards to pricing or risk adjusted profitability measures. In this paper, a practically oriented, top-down approach to assess the quality of EL by backtesting with a properly defined risk measure is introduced. In a first step, the concept of risk expenses (Cost of Risk) has to be extended beyond the classical provisioning view, towards a more adequate capital consumption approach (Impact of Risk, IoR). On this basis, the difference between parameter-based EL and actually reported Impact of Risk is decomposed into its key components. The proposed method will deepen the understanding of practical properties of EL, reconciles the EL with a clearly defined and observable risk measure and provides a link between upcoming IFRS 9 accounting standards for loan loss provisioning with IRBA regulatory capital requirements. The method is robust irrespective whether parameters are simple, expert based values or highly predictive and perfectly calibrated IRBA compliant methods, as long as parameters and default identification procedures are stable.
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PDF链接：
https://arxiv.org/pdf/1211.4946

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关键词：新巴塞尔协议 巴塞尔协议 巴塞尔 Quantitative Provisioning risk 回测 consumption 费用 损失