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• W1565653908 abstract "This paper generalizes the existing asymptotic single-factor model to address issues related to industry heterogeneity, default clustering and capital requirement’s parameter uncertainty in US retail loan portfolios. We argue that the Basel II capital requirement overstates the riskiness of small businesses even with prudential adjustments. Moreover, our estimates show that both location and spread of loss distribution bare uncertainty. Their shifts over the course of the recent crisis have important risk management implications. The results are based on a unique representative dataset of US small businesses from 2005 to 2011 and give fundamental insights into the US economy. Portfolio loss distribution can be subject to changes in dynamic macroeconomic conditions. Typically, the expected loss associated with provisions level is considered not to bare uncertainty which in turn is associated with the unexpected losses. The expectation about the loss may however shift when new information becomes available thus changing the expectation about loss level. We build on the existing single-factor literature to include aspects of portfolio diversification, dynamics of risk and capital requirements. Our interest" @default.
• W1565653908 created "2016-06-24" @default.
• W1565653908 creator A5074289540 @default.
• W1565653908 date "2012-11-01" @default.
• W1565653908 modified "2023-09-27" @default.
• W1565653908 title "Modeling default correlation in a US retail loan portfolio" @default.
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