Non – parametric estimation of conditional and unconditional loan portfolio loss distributions with public credit registry data

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Non – parametric estimation of conditional and unconditional loan portfolio loss distributions with public credit registry data

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Gutierrez Girault, Matias

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Matias Alfredo Gutierrez Girault

Abstract

Employing a resampling-based Monte Carlo simulation developed in Carey (2000, 1998) and Majnoni, Miller and Powell (2004), in this paper we estimate conditional and unconditional loss distributions for loan portfolios of argentine banks in the period 1999-2004, controlling by type of borrower and type of bank. The exercise, performed with data contained in the public credit registry of the Central Bank of Argentina, yields economic estimates of expected and unexpected losses useful in bank supervision and in the prudential regulation of credit risk, for example to measure if Basel II’s IRB approach is appropriately calibrated to the local economy.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 9798.

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Date of creation: Sep 2006
Date of revision: Jun 2007
Handle: RePEc:pra:mprapa:9798

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Find related papers by JEL classification:
G2 - Financial Economics - - Financial Institutions and Services
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

References listed on IDEAS
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Mark Carey, 1998. "Credit Risk in Private Debt Portfolios," Journal of Finance, American Finance Association, vol. 53(4), pages 1363-1387, 08. [Downloadable!] (restricted)
Mark Carey, 2000. "Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements," NBER Working Papers 7629, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Mark Carey, 2000. "Dimensions of credit risk and their relationship to economic capital requirements," Finance and Economics Discussion Series 2000-18, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

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Gutierrez Girault, Matias Alfredo, 2008. "Modeling extreme but plausible losses for credit risk: a stress testing framework for the Argentine Financial System," MPRA Paper 16378, University Library of Munich, Germany. [Downloadable!]

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