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Evaluating Credit Risk Models

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发表于 2008-1-21 16:32:25 | 显示全部楼层 |阅读模式
Jose A. Lopez
Economic Research Department
Federal Reserve Bank of San Francisco
101 Market Street
San Francisco, CA 94105-1530
Phone: (415) 977-3894
Fax: (415) 974-2168
jose.a.lopez@sf.frb.org
Marc R. Saidenberg
Research and Market Analysis Group
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045
Phone: (212) 720-5958
Fax: (212) 720-8363
marc.saidenberg@ny.frb.org
Draft Date: June 30, 1999

Abstract
Over the past decade, commercial banks have devoted many resources to developing
internal models to better quantify their financial risks and assign economic capital. These efforts
have been recognized and encouraged by bank regulators. Recently, banks have extended these
efforts into the field of credit risk modeling. However, an important question for both banks and
their regulators is evaluating the accuracy of a model’s forecasts of credit losses, especially given
the small number of available forecasts due to their typically long planning horizons. Using a
panel data approach, we propose evaluation methods for credit risk models based on crosssectional
simulation. Specifically, models are evaluated not only on their forecasts over time, but
also on their forecasts at a given point in time for simulated credit portfolios. Once the forecasts
corresponding to these portfolios are generated, they can be evaluated using various statistical
methods.

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