On Estimation of Point-in-Time Loss Given Default: A Comparative Study
| Thesis title: | On Estimation of Point-in-Time Loss Given Default: A Comparative Study |
|---|---|
| Author: | Kuchta, Michal |
| Thesis type: | Diploma thesis |
| Supervisor: | Janíčko, Martin |
| Opponents: | Miklánek, Tomáš |
| Thesis language: | English |
| Abstract: | This Thesis deals with the new provisioning standard IFRS9, in the specific case of LGD modelling and proposes a set of robust approaches to meet the Standard's requirements. It compares the scenario generation through conditional forecasting in DSGE with the proposed pioneering methodology endogenizing scenario paths and their probabilities in Bayesian Markov-switching VAR. It develops a range of recovery rate models using survival analysis and principal component regression. Sub-results are then integrated to derive single probability-weighted ECL estimate. |
| Keywords: | scenarios; IFRS9; DSGE; Bayesian Markov-switching VAR; forecasting; severity; LGD |
| Thesis title: | On Estimation of Point-in-Time Loss Given Default: A Comparative Study |
|---|---|
| Author: | Kuchta, Michal |
| Thesis type: | Diplomová práce |
| Supervisor: | Janíčko, Martin |
| Opponents: | Miklánek, Tomáš |
| Thesis language: | English |
| Abstract: | Táto práca pojednáva o IFRS9, novom štandarde na výpočet opravných položiek, a to špecificky v kontexte LGD. Zároveň navrhuje viacero robustných prístupov k uchopeniu nového štandardu. Porovnáva tvorbu scenárov pomocov podmienených predpovedí v DSGE modeli, s novo navrhnutou metodológiou endogenizujúcou scenáre a ich pravdepodobnosti pomocou Bayesovského Markov-switching VAR modelu. Následne sa venuje vývoju modelov miery návratnosti (recovery rate) pomocou analýzy prežitia a regresii hlavných komponentov. Pravdepodobnosťou vážené očakávané kreditné straty sú nakoniec spočítané integráciou parciálnych výsledkov. |
| Keywords: | predpovede; severita; LGD; scenáre; IFRS9; DSGE; Bayesovský Markov-switching VAR |
Information about study
| Study programme: | Ekonomie a hospodářská správa/Ekonomická analýza |
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| Type of study programme: | Magisterský studijní program |
| Assigned degree: | Ing. |
| Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
| Faculty: | Faculty of Economics |
| Department: | Department of Economics |
Information on submission and defense
| Date of assignment: | 2. 7. 2018 |
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| Date of submission: | 17. 12. 2018 |
| Date of defense: | 1. 2. 2019 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/66369/podrobnosti |