Browse > Article

Study on the validation methods of calibration considering correlations  

Kim, Enn-Na (Department of Statistics, Keimyung University)
Ha, Jeong-Cheol (Department of Statistics, Keimyung University)
Publication Information
Journal of the Korean Data and Information Science Society / v.21, no.3, 2010 , pp. 407-417 More about this Journal
Abstract
In Basel II compliance, internal rating systems are allowed for banks to enhance the self control and the validation of the system are getting more important. The validation methods are composed of qualitative test and quantitative test, three basic standards of which are discriminatory power, stability and calibration. The aim of this article is to review the quantitative tests for calibration and find a new method for it. These methods for discrimination between forecasted PD and observed PD include binomial test, chi square test, Brier score, traffic lights approach, normal test and extended traffic lights approach. We introduce a modified extended traffic lights approach considering asset correlations.
Keywords
Calibration; correlation; credit ratings; extended traffic lights approach; validation;
Citations & Related Records
Times Cited By KSCI : 4  (Citation Analysis)
연도 인용수 순위
1 홍종선, 김지훈 (2009). 신용평가모형에서 두 분포함수의 동일성 검정을 위한 비모수적인 검정방법. <한국데이터정보과학회지>, 20, 261-272.   과학기술학회마을
2 Bernd, E. and Robert, R. (2006). The basel II risk parameters: Estimation, validation, and stress testing, Springer Verlag.
3 Basel Committee on Banking Supervision (BCBS) (2005). Studies on the validation of internal rating systems (revised). Working paper, 14.
4 Hong, Y. W. and Suh, J. S. (2008). Estimating the credit value at risk of korean property and casuality insurers. Journal of the Korean data & Information Science Society, 19, 1027-1036.   과학기술학회마을
5 Tasche, D. (2003). A traffic lights approach to PD validation, Working paper.
6 임종건 (2006). 신용등급 계량화에 대한 적합성검증 방법론, 리스크리뷰, 2006년 가을호.
7 임철순 (2005). 신BIS기준에 따른 신용평가시스템 적합성검증, 리스크리뷰, 2005년 가을호.
8 하정철 (2009). 신용등급 변화감지에 관한 방법 개발 연구. <한국자료분석학회>, 11, 827-837.
9 금융감독원 (2006). <알기 쉬운 신BIS협약>, 금융감독원, 서울.
10 Hong, C. S. and Choi, J. M. (2008). Validation comparison of credit rating models using Box-Cox transformation. Journal of the Korean data & Information Science Society, 19, 789-800.   과학기술학회마을
11 Jeong, W. K (2003). The return generating process of corporate bonds based on credit ratings. Journal of the Korean data & Information Science Society, 14, 805-815.   과학기술학회마을
12 Blochwitz, S., Carsten, S. W. and Hohl, S. (2005). Reconsidering ratings, Working paper.
13 이석형, 심재호 (2006). 신BIS 기준에 따른 양적 적합성검증 방법론 고찰. 리스리뷰, 2006년 여름호.
14 금융감독원 (2005). <신용리스크 내부등급법 세부지침 (안)>, 금융감독원, 서울.
15 OeNB. (2005). Rating models and validation, Guidelines on Credit Risk Management.
16 Gordy, M. B. (2002). A risk factor model foundation for rating based bank capital rules, Board of Governors of the Federal Reserve System.