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Více informací o knize Margin of Conservatism for Long-run Average Default Rate

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Anotace knihy

Seminar paper from the year 2018 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, , language: English, abstract: In this paper we present an approach to quantify and measure the Margin of Conservatism (MoC) for the long-run average default rate covering regulatory identied deciency categories A, B and D. This approach does not rely on assumptions on predened distributions, tail properties or condence intervals, rather the proposed MoC adjustment is based on the relative uncertainty in empirically identied data and system issues. Further, we provide generalized mathematical denition of the adjustment and extend it to house any judgmental uncertainties, allowing quantication of issues relative to the observed data that is used in raw default rate calculation. Note that category C deciencies are model related and is mitigated via an approach presented in another paper. The final MoC adjustment is completed with both components.

Parametry knihy

• Plný název: Margin of Conservatism for Long-run Average Default Rate
• Autor: Yang Liu
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 16
• EAN: 9783668826397
• ID: 20627516
• Nakladatelství: Grin Publishing
• Hmotnost: 38 g
• Rozměry: 210 × 148 × 1 mm
• Rok vydání: 2018

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