Estimating Conditional PD when Defaults Number is Small

• Main Authors: Tang,yan hsin, 唐延新
• Other Authors: 劉惠美
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/83491814382282008523

碩士 === 國立政治大學 === 統計研究所 === 98 === By the internal rating-based approach of Basel II, banks estimate borrowers' default risks to withdraw reserves independently. Hence, estimating default probability (PD) of borrowers is important. Most of previous studies estimating PD assume that evaluation scores are discrete, In this study, we use curve function to t estimation model in the condition that the evaluation scores are continuous . We use truncated gamma distribution to t ROC curve function. And we use the ROC curve function to estimate PD of dierent scores. And use two-step method to nd the value of two parameters in gamma distribution. The estimation method in this study doesn't assume the distribution of estimation scores,so we use dierent distributions, parameters, and default probabilities to test the accuracy and stability of this method. In the end, we also compare our methods with Van der Burgt (2008) and Tasche (2009)' methods.