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Portfóliószemléletű hitelkockázat szimulációs meghatározása
[Simulated determination of credit risk in portfolio terms]

Author

Listed:
  • Janecskó, Balázs

Abstract

A kereskedelmi bankok nyereséges működését leginkább veszélyeztető kockázattípus a hitelkockázat, amely nagyon leegyszerűsítve abból fakad, hogy az adósok nem teljesítik a bankkal szemben fennálló kötelezettségeiket. Egy esetleges nem teljesítési esemény következtében a bank tényleges hitelezési vesztesége a minősített kintlevőség kezelése (work-out) után válik pontosan számszerűsíthetővé. Felmerül a kérdés, hogy adott időhorizonton (például egy év alatt) és adott valószínűség mellett maximálisan mekkora lehet a bank teljes hitelportfóliójában keletkező veszteség, valamint a kockázat hogyan oszlik meg a különböző szempontok szerint kialakítható részportfóliók között, illetve az egyes hitelek hogyan járulnak hozzá a teljes portfólió kockázatához. A válaszhoz első lépésben egy közgazdasági modellt kell alkotni, amely leírja a vállalatok csődbemeneteli folyamatát, a csődesemények közötti kölcsönhatásokat, illetve a csőd utáni fedezetértékesítési folyamatot. A második lépésben a modell matematikai formalizálása történik meg. Végül pedig a matematikai problémát kell megoldanunk és az eredményeket közgazdaságilag interpretálnunk. A cikk olyan közgazdasági modellt mutat be, amely rendkívül flexibilis, és számos más - a hitelkockázati problémától nagyon eltérő - feladat megoldásában is hasznos lehet. A kapcsolódó matematikai modell azonban csak nagyon speciális esetekben oldható meg képletekkel, ezért a szerző "kézi számolások" helyett magát a közgazdasági folyamatot (a csődesemények véletlenszerűségét) szimulálta számítógéppel, és így vizsgálta meg a hitelportfóliót érő teljes veszteség statisztikáját.* Journal of Economic Literature (JEL) kód: C10, C15, G10, G11, G21, G33.

Suggested Citation

  • Janecskó, Balázs, 2002. "Portfóliószemléletű hitelkockázat szimulációs meghatározása [Simulated determination of credit risk in portfolio terms]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 664-676.
    • Handle: RePEc:ksa:szemle:550
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    References listed on IDEAS

    as
    1. Winfried G. Hallerbach, 1999. "Decomposing Portfolio Value-at-Risk: A General Analysis," Tinbergen Institute Discussion Papers 99-034/2, Tinbergen Institute.
    2. Sundt, Bjørn & Jewell, William S., 1981. "Further Results on Recursive Evaluation of Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 12(1), pages 27-39, June.
    3. Gordy, Michael B., 2000. "A comparative anatomy of credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 119-149, January.
    4. Panjer, Harry H., 1981. "Recursive Evaluation of a Family of Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 12(1), pages 22-26, June.
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    More about this item

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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