信貸遷移風險


0

我遇到了一個問題,即我在一組客戶中獲得了兩個期間的數據。

每組包括以下字段:ID,等級,PD,LGD,風險(資產負債表內和資產負債表外風險),EAD,RWA,所需資本,預期損失(EL = EADxPDxLGD)。

PD =違約概率

LGD =違約損失

EAD =默認情況下的曝光

RWA =風險加權資產

EL =預期損失

我不確定在給定數據的情況下如何確定兩個時期之間的風險轉移範圍。實際上,我沒有有關這些時間段是連續的還是涵蓋的年份的信息(也許關係不大)。

資本消耗與預期損失有何關係?

2

If you have the data in two different tables, doing this in base R is quite easy. For example:

set.seed(1L)

N <- 100L
current <- data.frame(
  ID = 1:100,
  Rating = sample(1:5, N, replace = TRUE),
  ECap = runif(N, 0, 1e6)
)

previous <- data.frame(
  ID = 25:124,
  Rating = sample(1:5, N, replace = TRUE),
  ECap = runif(N, 0, 1e6)
)

merged <- merge(previous, current, by = 'ID')
# Change in ECap
merged$ECap_delta <- merged$ECap.y - merged$ECap.x
# Rating migrations
table(merged$Rating.y, merged$Rating.x)

You'll also want to look at ID that are added or removed from the two sets.

The same steps can be done in SQL or Python as well.

You're right that Economic Capital (ECap) is related to Expected Loss, they both tell us something about the different the loss distribution. However, there is no function that takes you from one to the other directly.

  • The Expected Loss is the expected value of the loss distribution $F$, i.e. $\mathrm{E}(L) = \mathrm{E}(\mathrm{Loss})$
  • The ECap is an upper percentile $\alpha$ of the loss distribution, analogous to the Value at Risk, mathematically: $\mathrm{ECap} = \inf\{x \in \mathbb{R} : F(x) > \alpha\}$.