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
空间金融资本与危害、风险暴露和转型的交汇之处
面向银行风险度量的统计
Probability and statistics underlie every credit, market and 操作风险 measure in banking. Default probabilities, loss distributions, 风险价值 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.
02申请
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 系统. 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 风险价值 are compared with outcomes using binomial and traffic-light tests, and calibration is reviewed when realised values diverge.
控制措施
- 外部资产下降
- 2.0%
- 杠杆率（资产与权益之比）
- 10 倍
- 银行间资产占比
- 10%
- 银行间债权的回收
- 40%
- 体系内的银行
- 20
- 核心银行
- 占银行的 20%
读数
- 初始冲击造成的权益损失
- 18.0%
- 传染后的权益损失
- 45.0%
- 传染新增（DebtRank）
- 27.0 个点
- 违约银行
- 0
数字、方法与来源
| 轮次 | 系统权益损失（%） | 违约银行 |
|---|---|---|
| 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 |
方法
- DebtRank Battiston 等（2012），Scientific Reports 2:541
- 差异化 DebtRank Bardoscia and others (2015), PLOS ONE 10
- 金融网络中的传染 Gai and Kapadia (2010), Proc. R. Soc. A 466
- 金融网络中的清算 Eisenberg 和 Noe（2001），Management Science 47
- 不确定性扇形图（参数蒙特卡罗） Spiegelhalter, Pearson and Short (2011), Visualising uncertainty about the future, Science 333
- 单因素敏感性（龙卷风图） Saltelli and others (2008), Global Sensitivity Analysis: The Primer, Wiley
数据
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.
贯穿六大支柱，由 Nexus Consortium 牵头
04数据
该方法使用的输入。
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 来源登记册.
| 数据 | 角色 | 标签 |
|---|---|---|
| Internal default and recovery histories | Parameter estimation | 观测 |
| Rating agency default studies | External benchmark | 已报告 |
| Operational loss databases | Frequency and severity fitting | 已报告 |
| Market price series | Value at risk and back-testing | 观测 |
05风险暴露、损失与资本
What statistics for bank risk measurement means for exposure, loss and capital.
风险官、监管者或财政部会要求的风险暴露、损失、情景和资本视图，以及它们据以报告的框架。结构遵循监管和精算实务。数值为说明性：绝非价格、评级或建议。
情景路径
How statistics for bank risk measurement could be stressed under the scenario families central banks and supervisors use.
| 情景系列 | 转型风险 | 物理风险 | 压力测试问什么 |
|---|---|---|---|
| 有序 | 早期、渐进的政策 | 较低 | 账面能否承受持续的重新定价？ |
| 无序 | 迟缓而突然的政策 | 中低 | 在突然重新定价和信用迁移下，什么会出现问题？ |
| 温室世界 | 有限政策 | 高且上升 | 实体损失集中在抵押品和保险的哪些环节？ |
NGFS 气候情景 · 央行与监管机构绿色金融网络IFRS S2 气候相关披露 · ISSBTCFD 建议 · 金融稳定理事会 TCFD有效管理气候相关金融风险的原则 · 巴塞尔银行监管委员会
06验证
结果如何核查。
Results are checked through diagnostics, cross-validation and sensitivity to assumptions. Independent replication confirms findings.
| 核查 | 如何开展 |
|---|---|
| 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.
08管理责任
由谁维护该方法。
系统科学与建模 stewards probability and statistics for the Consortium and reviews how it is applied across platforms.
09已关联
本页在整个联合体中通向何处。
10问题
问题与解答。
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.
结果如何核查？
Results are checked through diagnostics, cross-validation and sensitivity to assumptions. Independent replication confirms findings.
本页面上的数值是真实的吗？
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.
该方法还应用于何处？
维持社会运转的各个 规范方法页面 列出应用该方法的每个平台。
报告贡献
从本页贡献证据。
报告 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.
全球风险联盟（Global Risks Alliance）Banking Nexus金融与保险准备度情景与压力测试
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法律
法律文件。
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