Preprint
Stress-Testing Probability of Default and Migration Rate with Respect to Basel II Requirements
Abstract
Basel II implementation requires the estimations of probability of default (PD) and migration rate under hypothetical or historically observed stress scenarios. Typically, financial institutions first forecast selected macroeconomic variables under these stress scenarios and then estimate the corresponding stressed PD and migration rates. These stressed parameters are in turn used in estimating the capital requirement and marked-tomarket losses …
Authors
Miu P; Ozdemir B
Publication date
January 1, 2008
DOI
10.2139/ssrn.1365842
Preprint server
SSRN Electronic Journal