意大利数据对违约概率的前瞻性估计

G. Marotta, C. Pederzoli, C. Torricelli
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引用次数: 12

摘要

巴塞尔协议II所采用的解决方案是处理资本要求的顺周期性(即通过周期评级和违约概率的长期平均估计),这意味着风险敏感性的降低,这与新框架的原始精神相矛盾。Pederzoli和Torricelli(2005)为了在保持风险敏感性的同时抑制顺周期性,在估计违约概率时建立了一个依赖于经济周期预测的模型,并为美国提供了应用。建模方法取决于对资本要求的前瞻性定义,预期商业周期可能对商业周期转折点产生平滑效应。本文检查了意大利案例方法的稳健性,其中使用了替代商业周期年表,并且必须通过利用意大利银行提供的违约数据来近似评级。研究结果表明,不同年表之间的比较是一个重要的问题。
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Forward-Looking Estimation of Default Probabilities with Italian Data
The solution adopted in Basel II to deal with procyclicality of capital requirements (i.e. through the cycle ratings and long-run average estimates of default probabilities) implies a reduction in the risk-sensitivity that contradicts the original spirit of the new framework.In order to preserve risk-sensitivity and to dampen procyclicality at the same time, Pederzoli and Torricelli (2005) set up a model which relies on a business cycle forecast in the estimation of the default probability and provide an application for the US. The modelling approach hinges on a forward-looking definition of capital requirements, in anticipation of the business cycle with a possible smoothing effect on the business cycle turning points.The present paper checks the robustness of the approach for the Italian case, where alternative business cycles chronologies are used and ratings have to be approximated by exploiting default data provided by the Bank of Italy. Findings suggest that the comparison between the alternative chronologies is an important issue.
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