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Activity Number:
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621
- Portfolio Choice, Stock Returns, Bankrupcty, and Default
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Type:
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Contributed
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Date/Time:
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Thursday, August 3, 2017 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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Abstract #324332
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View Presentation
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Title:
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Bayesian Estimation of the Default Rate Distributions with Non-Gaussian Single Factor Models
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Author(s):
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Takayuki Shiohama*
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Companies:
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Tokyo University of Science
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Keywords:
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default rate distribution ;
particle filter ;
Bayesian estimation ;
credit portfolio risk ;
state-space model
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Abstract:
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We consider a state-space model for the default rate distribution of Vasicek's single factor models with portfolio credit losses. The proposed default rate distributions incorporate with non-Gaussian distributions in the asset returns together with the time-varying parameters for the probability of default (PD) and the asset correlation among the obligors. Simulation-based inference using sequential Monte Carlo methods for computing the posterior distributions for the state variables and unknown parameters are investigated. By comparing the estimated model parameters with time-varying credit portfolio risks with an ordinary method, this approach provides useful insight for the appropriate evaluation for the credit portfolio risks.
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Authors who are presenting talks have a * after their name.
