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Autor
Wycinka Ewa (University of Gdansk, Poland)
Tytuł
Competing Risk Models of Default in the Presence of Early Repayments
Zastosowanie modeli zdarzeń konkurujących do oceny ryzyka kredytowego
Źródło
Econometrics. Advances in Applied Data Analysis, 2019, vol. 23, nr 2, s. 99-120, rys., tab., bibliogr. 43 poz.
Ekonometria
Słowa kluczowe
Model proporcjonalnego hazardu Coxa, Analiza zdarzeń, Ryzyko kredytowe, Ekonometria
Cox proportional hazard model, Event study, Credit risk, Econometrics
Uwagi
Klasyfikacja JEL: C14, C34, H81
streszcz., summ.
Abstrakt
Jednym z podstawowych zadań instytucji kredytowych jest ocena ryzyka kredytowego, którego podstawowym elementem jest ocena niewypłacalności kredytobiorcy. Wielkość portfela kredytowego może zmniejszać się w czasie z powodu nie tylko wystąpienia niewypłacalności, ale również wcześniejszych spłat kredytów. Zmienia to prawdopodobieństwo niewypłacalności w kolejnych okresach. Szacując prawdopodobieństwo niewypłacalności, należy więc uwzględnić prawdopodobieństwo wcześniejszych spłat w kolejnych okresach, co można osiągnąć za pomocą modeli zdarzeń konkurujących. W badaniu do oceny ryzyka niewypłacalności zaproponowano wybrane modele regresji dla zdarzeń konkurujących. Rozważane są modele: hazardu według przyczyny, hazardu subrozkładu, mieszanki modeli (podejście horyzontalne i wertykalne) oraz modele uogólnionych równań estymacyjnych GEE dla pseudoobserwacji. Badanie empiryczne przeprowadzono na próbie portfela kredytów udzielonych przez jedną z instytucji finansowych w Polsce.(abstrakt oryginalny)

One of the central tasks of credit institutions is credit risk assessment, in which the estimation of the probability of default is an important element. The size of an institution's credit portfolio can decrease as a result of early repayments, which changes the probability of default over time. Prognosis of the probability of default should therefore also take into consideration the prognosis of early repayments. In this paper, methods of evaluating the probability of default over time, using competing risks regression models, are considered. Methods of evaluation for models of default over time are proposed. A sample of retail credits, provided by a Polish financial institution, was empirically examined.(original abstract)
Dostępne w
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Pełny tekst
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Bibliografia
Pokaż
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Cytowane przez
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ISSN
1507-3866
Język
eng
URI / DOI
http://dx.doi.org/10.15611/eada.2019.2.07
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