Tid: 22 februari 2011 kl 15.15-16.00.
Plats : Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25. (observera dagen och lokalen), Karta!
Föredragshållare: Andreas Wirenhammar
Titel: Modeling Downturn LGD for a Retail Portfolio (Examensarbete – Master thesis)
Loss given default is a very important measure in credit risk. This measure however might be affected by the state of the econonomy, especially in downturn conditions. The Basel II accord requires financial institutions to calculate the expected loss for their credit portfolio in downturn conditions. As a part of this, downturn loss given default has to be estimated. The Swedish FSA define downturn conditions as the conditions during the 90s crisis. This leads to the need to create a model for quantifying the loss given default factor during downturn conditions. The modeling is complicated by the lack of saved data from this period. This paper will discuss numerous different approaches on how to solve this problem and as we will see, most approaches do not give any reasonable results with our dataset. Instead this paper recommends a multifactor model to be used until sufficient data have been amassed.
|Sidansvarig: Filip Lindskog