非零售类风险暴露信用风险模型的校准和主标尺开发

模型校准是将模型输出结果对应到真实的违约概率。本研究通过一个以违约概率为度量标准的主标尺,映射得到风险等级的过程。该过程引入了所有资产组合风险量化的统一标准。模型的校准和主标尺的设计开发是一个过程中相互联系的两个步骤,该过程受不同条件的约束,是一个多目标优化的问题。本文主要阐述了主标尺开发和模型校准的方法。

Model Calibration and Master Scale Development for Credit Risk Models of Non-Retail Portfolios

The calibration of probability of default models is such a process that projecting outputs of models to actual defaulting probabilities of obligors,then mapping them to risk grades governed by a master scale covering all portfolios of a bank.This process brings out a standard of quantifying credit risks of all the portfolios.The calibration of credit risk models and the design of master scales should be regarded as two interactive steps within one framework,which can be described as an optimization with mul...