Estimating default and loss parameters
Probability of default, loss given default and exposure at default are estimated from internal and external histories, with margins of conservatism where data are thin or do not cover a downturn.
GRA · Banking Nexus
Keuangan spasialTempat modal bertemu bahaya, keterpaparan, dan transisi
Statistics for bank risk measurement
Probability and statistics underlie every credit, market and risiko operasional measure in banking. Default probabilities, loss distributions, value at risk and stress losses all rest on estimation from limited and often unrepresentative data, and the discipline makes the uncertainty in those estimates explicit for the people who rely on them.
01Daftar
Statistics for bank risk measurement on the record.
Catatan metodeMetode STEM
- MetodeProbabilitas dan statistika
- PengelolaIlmu Sistem dan Pemodelan
- Diterapkan diBanking Nexus
- Data4 masukan
- Pemeriksaan4 langkah validasi
- Halaman kanonisSTEM Commons
02Permohonan
What probability and statistics does here.
Probability and statistics provide the mathematical framework for describing uncertainty and learning from data. They underpin estimation, testing and prediction in every risk discipline. In financial stability, capital markets and investment and climate and hazards, statistical methods quantify the likelihood and uncertainty of losses across interconnected Sistem. They make the evidence behind risk decisions explicit and reproducible. The canonical description is on STEM Commons.
Operational loss modelling
The frequency and severity of operational losses are modelled from internal, external and scenario data, with heavy tails treated explicitly rather than smoothed away.
Back-testing and calibration
Predicted default rates and value at risk are compared with outcomes using binomial and traffic-light tests, and calibration is reviewed when realised values diverge.
03Uji tekanan
Bagaimana guncangan pada aset menjadi kerugian sistem.
Ekuitas yang hilang dari sistem setelah penularan antarbank, dibandingkan dengan pukulan awal, seiring berubahnya leverage, keterhubungan, dan tingkat pemulihan, yang merupakan inti dari Uji tekananmakroprudensial. Model pengajaran dengan nilai ilustratif yang dinyatakan, bukan prediksi.
Kendali
- Penurunan aset eksternal
- 2.0%
- Leverage (aset terhadap ekuitas)
- 10 kali
- Porsi aset antarbank
- 10%
- Pemulihan atas tagihan antarbank
- 40%
- Bank dalam sistem
- 20
- Bank inti
- 20% bank
Pembacaan
- Ekuitas yang hilang akibat guncangan awal
- 18.0%
- Ekuitas yang hilang setelah penularan
- 45.0%
- Ditambahkan oleh penularan (DebtRank)
- 27.0 poin
- Bank yang gagal bayar
- 0
Angka, metode, dan sumber
| Putaran | Ekuitas sistem yang hilang (%) | Bank yang gagal bayar |
|---|---|---|
| 0 | 18.00 | 0 |
| 1 | 28.80 | 0 |
| 2 | 35.28 | 0 |
| 3 | 39.17 | 0 |
| 4 | 41.50 | 0 |
| 5 | 42.90 | 0 |
| 6 | 43.74 | 0 |
| 7 | 44.24 | 0 |
| 8 | 44.55 | 0 |
| 9 | 44.73 | 0 |
| 10 | 44.84 | 0 |
| 11 | 44.90 | 0 |
| 12 | 44.94 | 0 |
| 13 | 44.96 | 0 |
| 14 | 44.98 | 0 |
| 15 | 44.99 | 0 |
| 16 | 44.99 | 0 |
| 17 | 45.00 | 0 |
| 18 | 45.00 | 0 |
| 19 | 45.00 | 0 |
| 20 | 45.00 | 0 |
| 21 | 45.00 | 0 |
| 22 | 45.00 | 0 |
| 23 | 45.00 | 0 |
| 24 | 45.00 | 0 |
| 25 | 45.00 | 0 |
| 26 | 45.00 | 0 |
| 27 | 45.00 | 0 |
| 28 | 45.00 | 0 |
| 29 | 45.00 | 0 |
| 30 | 45.00 | 0 |
Metode
- DebtRank Battiston and others (2012), Scientific Reports 2:541
- DebtRank Diferensial Bardoscia and others (2015), PLOS ONE 10
- Penularan dalam jaringan keuangan Gai and Kapadia (2010), Proc. R. Soc. A 466
- Kliring dalam jaringan keuangan Eisenberg and Noe (2001), Management Science 47
- Kipas ketidakpastian (Monte Carlo parametrik) Spiegelhalter, Pearson dan Short (2011), Memvisualisasikan ketidakpastian tentang masa depan, Science 333
- Sensitivitas satu per satu (tornado) Saltelli and others (2008), Global Sensitivity Analysis: The Primer, Wiley
Data
No observed data enters this model: it runs on the teaching values set by the controls, to be replaced with a programme’s own evidence.
Di seluruh enam pilar, dipimpin oleh Nexus Consortium
- Eksperimen Laboratorium
- Tertanam di Banking Nexus di Foundry
- Diuji pada Banking Nexus di Universe
- Dikodifikasi dalam Keuangan, Asuransi, dan Ekonomi di Standards
- Diterbitkan di Banking Nexus di Reports
- Diajarkan di Fakultas Keuangan dan Ekonomi di Academy
04Data
Apa yang digunakan metode ini.
Datasets and records used by probability and statistics on this platform, with the role each plays and the label its values carry. Sources are listed in register sumber.
| Data | Peran | Label |
|---|---|---|
| Internal default and recovery histories | Parameter estimation | TERAMATI |
| Rating agency default studies | External benchmark | DILAPORKAN |
| Operational loss databases | Frequency and severity fitting | DILAPORKAN |
| Market price series | Value at risk and back-testing | TERAMATI |
05Eksposur, kerugian, dan modal
What statistics for bank risk measurement means for exposure, loss and capital.
Tampilan eksposur, kerugian, skenario, dan modal yang akan diminta oleh pejabat risiko, otoritas pengawas, atau kementerian keuangan, beserta kerangka pelaporan yang mereka gunakan. Strukturnya mengikuti praktik pengawasan dan aktuaria. Nilai bersifat ilustratif: tidak pernah merupakan harga, peringkat, atau saran.
Jalur skenario
How statistics for bank risk measurement could be stressed under the scenario families central banks and supervisors use.
| Kelompok skenario | Risiko transisi | Risiko fisik | Apa yang ditanyakan uji tekanan |
|---|---|---|---|
| Teratur | Kebijakan dini dan bertahap | Lebih rendah | Dapatkah portofolio menyerap penetapan ulang harga yang bertahap? |
| Tidak teratur | Kebijakan terlambat dan mendadak | Rendah hingga sedang | Apa yang rusak saat terjadi penetapan ulang harga mendadak dan migrasi kredit? |
| Dunia rumah kaca | Kebijakan terbatas | Tinggi dan meningkat | Di mana kerugian fisik terkonsentrasi dalam agunan dan asuransi? |
Skenario iklim NGFS · Network for Greening the Financial SystemIFRS S2 Pengungkapan terkait Iklim · ISSBRekomendasi TCFD · Financial Stability Board TCFDPrinsip-prinsip pengelolaan efektif risiko keuangan terkait iklim · Basel Committee on Banking Supervision
06Validasi
Cara hasil diperiksa.
Results are checked through diagnostics, cross-validation and sensitivity to assumptions. Independent replication confirms findings.
| Pemeriksaan | Cara pelaksanaannya |
|---|---|
| Out-of-time validation | Models are tested on periods not used in estimation, including a stressed period where one is available |
| Low-default portfolio treatment | Where defaults are rare, conservative estimators and expert overlays are documented and challenged |
| Tail diagnostics | Fitted distributions are checked in the tail, not only on average fit |
| Sensitivity reporting | Key parameter changes and their effect on capital and provisions are reported to decision-makers |
Inference depends on assumptions about independence, distribution and sampling that may not hold. Small or biased samples limit reliability.
08Pengelolaan
Siapa yang memelihara metode ini.
Ilmu Sistem dan Pemodelan stewards probability and statistics for the Consortium and reviews how it is applied across platforms.
09Terhubung
Ke mana halaman ini mengarah di seluruh Konsorsium.
10Pertanyaan
Tanya jawab.
What are the limits of probability and statistics in this field?
Inference depends on assumptions about independence, distribution and sampling that may not hold. Small or biased samples limit reliability.
Bagaimana hasil diperiksa?
Results are checked through diagnostics, cross-validation and sensitivity to assumptions. Independent replication confirms findings.
Apakah nilai di halaman ini nyata?
The data names, roles and checks are real descriptions of practice. The canvas shows a design of the method’s use, not a run; no result is reported here.
Di mana lagi metode ini diterapkan?
Observatory Halaman metode kanonis mencantumkan setiap platform yang menerapkannya.
LaporanBerkontribusi
Kontribusikan bukti dari halaman ini.
Laporan is the Consortium’s quarterly publication. What you know about this subject can become evidence, a case or a correction in the next edition, credited to you and published under CC BY 4.0 where it is your own work.
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Hukum
Dokumen hukum.
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