Project CEMAPRE internal
|Title||Credit Risk: implementing Basel regulations in developing countries|
|Participants||Fernando Dala, Raquel Gaspar (Principal Investigator)|
|Summary||In this project we propose methods, based upon actuarial science models – to model default|
probabilities, aggregate defaults and default correlation – and that are particularly fit for the
reality of credit portfolios of banks operating in developing countries.
First we propose a default table approach, similar to mortality tables used in actuarial survival
analysis, to estimate default probabilities of credit portfolios.
Using both individual and collective risk models, we show how to model aggregate defaults using
convolutions, commonly used in actuarial sciences models.
Finally, we propose to use Asymptotic Single Risk Factor (ASRF) framework of Gordy to model default
correlation, but also to evaluate other risk measures such as Value-at-Risk (VaR) and Conditional
Expected Shortfall (CES).