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Sistemska Komponenta Kreditnog Rizika: Metod Kopula (Systemic Component Of Credit Risk: A Copula-Based Method)

Author

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  • Miloš Božović

Abstract

Kreditna sposobnost dužnika značajno zavisi od makroekonomskih uslova. Većina modela kojima se ocenjuje kreditni kvalitet zasniva se na dugoročnim verovatnoćama neizmirenja, iako je tekuća kreditna sposobnost veoma osetljiva na poslovne cikluse. U ovom radu je primenjen pristup kopula da bismo ocenili verovatnoću neizmirenja za dati trenutak (point-in-time) dovodeći u vezu verovatnoću neizmirenja za čitav poslovni ciklus (through-the-cycle) sa skupom međusobno korelisanih sistemskih faktora rizika. Model je ilustrovan na kvartalnim podacima iz Sjedninjenih Američkih Država o stopama neizmirenja kredita odobrenih stanovništvu u periodu od prvog kvartala 1981. godine do četvrtog kvartala 2020. godine. Za konstruisanje promenljivih koje opisuju uticaj sistemskog faktora korišćene su ključne makroekonomske serije tokom istog perioda. Ocenjeni su parametri modela i statistike njegovih performansi unutar i izvan uzorka. Pokazuje se da je sposobnost modela da predviđa buduće statuse neizmirenja obaveza izvan uzorka veoma zadovoljavajuća za različite horizonte predviđanja.

Suggested Citation

  • Miloš Božović, 2021. "Sistemska Komponenta Kreditnog Rizika: Metod Kopula (Systemic Component Of Credit Risk: A Copula-Based Method)," Ekonomske ideje i praksa, Faculty of Economics and Business, University of Belgrade, issue 41, pages 1-13, June.
    • Handle: RePEc:beo:ekidpr:y:2021:i:41:p:1-13
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    References listed on IDEAS

    as
    1. Longstaff, Francis A & Schwartz, Eduardo S, 1995. "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, American Finance Association, vol. 50(3), pages 789-819, July.
    2. Rosen, Dan & Saunders, David, 2010. "Risk factor contributions in portfolio credit risk models," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 336-349, February.
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    More about this item

    Keywords

    kreditni rizik; stopa neizmirenja; makroekonomske determinante;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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