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Systemic Basel II Credit Loss Distributions under Non-Normality.pdf
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In the context of Vasicek (1987, 2002) single factor model, we examine the impact
of skewness and excess kurtosis of the latent asset return process on the shape of
the credit loss distribution and, consequently, over the Basel II capital
requirements. We use Skew Normal and Skew Student’s t densities to develop a
Maximum Likelihood estimator of the credit loss density for aggregate charge-off
rates published by the Federal Reserve Board for ten U.S. sectors. We show that,
the non-gaussian modelling of the common latent factor provides a better
characterization than its Gaussian counterpart, and has a significant impact on the
capital requirements depending on the sign and magnitude of the skew-related
coefficient. The results show explicitly the inadequacies of the existing Basel II
framework and provide specific guidance for the design of prudential policies in
banking regulation and supervision.
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