Description

Speaker: Fernando Dala (MAEG PhD Student)
Using the Internal Ratings-Based approach of Basel regulations, banks can calculate their own evaluations of the relevant credit risk parameters.
In this paper we propose to evaluate the probability of default, using a default table approach, similar to mortality tables, used in actuarial survival analysis. The proposed method allows to make probabilistic judgments about evolution of defaults on a periodic basis, and is not data intensive. Its features make the proposed method particularly fit for the reality of credit portfolios of banks operating in developing countries.
For illustration purposes, we apply it to data based upon concrete real-life credit portfolios, in the same rating class, from 10 commercial Angolan banks.

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