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Activity Number: 621 - Portfolio Choice, Stock Returns, Bankrupcty, and Default
Type: Contributed
Date/Time: Thursday, August 3, 2017 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract #324332 View Presentation
Title: Bayesian Estimation of the Default Rate Distributions with Non-Gaussian Single Factor Models
Author(s): Takayuki Shiohama*
Companies: Tokyo University of Science
Keywords: default rate distribution ; particle filter ; Bayesian estimation ; credit portfolio risk ; state-space model

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.

Authors who are presenting talks have a * after their name.

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