Regulatory estimates for defaulted exposures: A case study of Spanish mortgages
The capital requirements derived from the Basel Accord were issued with the purpose of deploying a transnational regulatory framework. Further regulatory developments on risk measurement is included across several documents published both by the European Banking Authority and the European Central Ba...
| Autores: | , , |
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| Tipo de documento: | artigo |
| Estado: | Versión aceptada para publicación |
| Data de publicação: | 2021 |
| País: | España |
| Recursos: | Universidad de Jaén |
| Repositório: | RUJA. Repositorio Institucional de la Producción Científica de la Universidad de Jaén |
| OAI Identifier: | oai:ruja.ujaen.es:10953/1368 |
| Acesso em linha: | https://www.mdpi.com/2227-7390/9/9/997/htm https://hdl.handle.net/10953/1368 |
| Access Level: | Acceso aberto |
| Palavra-chave: | risk management banking regulation Basel Acord defaulted exposures economic downturn Expected Loss Best Estimate Loss Given Default in-default |
| Resumo: | The capital requirements derived from the Basel Accord were issued with the purpose of deploying a transnational regulatory framework. Further regulatory developments on risk measurement is included across several documents published both by the European Banking Authority and the European Central Bank. Among others, the referred additional documentation focused on the models’ estimation and calibration for credit risk measurement purposes, especially the Advanced Internal-Ratings Based models, which may be estimated both for non-defaulted and defaulted assets. A concrete proposal of the referred defaulted exposures models, namely the Expected Loss Best Estimate (ELBE) and the Loss Given Default (LGD) in-default, is presented. The proposed methodology is eventually calibrated on the basis of data from the mortgage’s portfolios of the six largest financial institutions in Spain. The outcome allows for a comparison of the risk profile particularities attached to each of the referred portfolios. Eventually, the economic sense of the results is analyzed. |
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