Matches in SemOpenAlex for { <https://semopenalex.org/work/W2753853289> ?p ?o ?g. }
Showing items 1 to 75 of
75
with 100 items per page.
- W2753853289 abstract "Common ordinal models, including the ordered logit model and the continuation ratio model, are formulated by a common score (ie, a linear combination of given explanatory variables) plus rank-specific intercepts. Sensitivity to the common score is generally not differentiated between rank outcomes. We propose an ordinal model based on forward ordinal probabilities for rank outcomes. In addition to the common score and intercepts, the forward ordinal probabilities are formulated by the rank- and rating-specific sensitivity (for a risk-rated portfolio). This rank-specific sensitivity allows a risk rating to respond to its migrations to default, downgrade, stay and upgrade accordingly. A parameter estimation approach based on maximum likelihood for observing rank-outcome frequencies is proposed. Applications of the proposed model include modeling rating migration probability for point-in-time probability of default term structure for International Financial Reporting Standard 9 expected credit loss estimation and Comprehensive Capital Analysis and Review stress testing. Unlike the rating transition model based on the Merton model, which allows only one sensitivity parameter for all rank outcomes for a rating and uses only systematic risk drivers, the proposed forward ordinal model allows sensitivity to be differentiated between outcomes, and to include entity-specific risk drivers (eg, the downgrade history or credit quality changes for an entity in the previous two quarters can be included). No additional estimation of the asset correlation is required. As an example, the proposed model, benchmarked with the rating transition model based on the Merton model, is used to estimate the probability of default term structure for a commercial portfolio, where for each rating the sensitivities are differentiated between migrations to default, downgrade, stay and upgrade. Our results show that the proposed model is more robust." @default.
- W2753853289 created "2017-09-15" @default.
- W2753853289 creator A5034956106 @default.
- W2753853289 date "2017-01-01" @default.
- W2753853289 modified "2023-09-26" @default.
- W2753853289 title "Forward ordinal probability models for point-in-time probability of default term structure: methodologies and implementations for IFRS 9 expected credit loss estimation and CCAR stress testing" @default.
- W2753853289 doi "https://doi.org/10.21314/jrmv.2017.181" @default.
- W2753853289 hasPublicationYear "2017" @default.
- W2753853289 type Work @default.
- W2753853289 sameAs 2753853289 @default.
- W2753853289 citedByCount "1" @default.
- W2753853289 countsByYear W27538532892022 @default.
- W2753853289 crossrefType "journal-article" @default.
- W2753853289 hasAuthorship W2753853289A5034956106 @default.
- W2753853289 hasConcept C105795698 @default.
- W2753853289 hasConcept C110313322 @default.
- W2753853289 hasConcept C114614502 @default.
- W2753853289 hasConcept C127413603 @default.
- W2753853289 hasConcept C133930124 @default.
- W2753853289 hasConcept C149782125 @default.
- W2753853289 hasConcept C162118730 @default.
- W2753853289 hasConcept C162324750 @default.
- W2753853289 hasConcept C164226766 @default.
- W2753853289 hasConcept C175444787 @default.
- W2753853289 hasConcept C178350159 @default.
- W2753853289 hasConcept C205208723 @default.
- W2753853289 hasConcept C21200559 @default.
- W2753853289 hasConcept C24326235 @default.
- W2753853289 hasConcept C2779628075 @default.
- W2753853289 hasConcept C2779806880 @default.
- W2753853289 hasConcept C2864544 @default.
- W2753853289 hasConcept C29122968 @default.
- W2753853289 hasConcept C33923547 @default.
- W2753853289 hasConcept C38652104 @default.
- W2753853289 hasConcept C41008148 @default.
- W2753853289 hasConcept C85461838 @default.
- W2753853289 hasConceptScore W2753853289C105795698 @default.
- W2753853289 hasConceptScore W2753853289C110313322 @default.
- W2753853289 hasConceptScore W2753853289C114614502 @default.
- W2753853289 hasConceptScore W2753853289C127413603 @default.
- W2753853289 hasConceptScore W2753853289C133930124 @default.
- W2753853289 hasConceptScore W2753853289C149782125 @default.
- W2753853289 hasConceptScore W2753853289C162118730 @default.
- W2753853289 hasConceptScore W2753853289C162324750 @default.
- W2753853289 hasConceptScore W2753853289C164226766 @default.
- W2753853289 hasConceptScore W2753853289C175444787 @default.
- W2753853289 hasConceptScore W2753853289C178350159 @default.
- W2753853289 hasConceptScore W2753853289C205208723 @default.
- W2753853289 hasConceptScore W2753853289C21200559 @default.
- W2753853289 hasConceptScore W2753853289C24326235 @default.
- W2753853289 hasConceptScore W2753853289C2779628075 @default.
- W2753853289 hasConceptScore W2753853289C2779806880 @default.
- W2753853289 hasConceptScore W2753853289C2864544 @default.
- W2753853289 hasConceptScore W2753853289C29122968 @default.
- W2753853289 hasConceptScore W2753853289C33923547 @default.
- W2753853289 hasConceptScore W2753853289C38652104 @default.
- W2753853289 hasConceptScore W2753853289C41008148 @default.
- W2753853289 hasConceptScore W2753853289C85461838 @default.
- W2753853289 hasLocation W27538532891 @default.
- W2753853289 hasOpenAccess W2753853289 @default.
- W2753853289 hasPrimaryLocation W27538532891 @default.
- W2753853289 hasRelatedWork W1479909339 @default.
- W2753853289 hasRelatedWork W1577268832 @default.
- W2753853289 hasRelatedWork W1595120926 @default.
- W2753853289 hasRelatedWork W2388062666 @default.
- W2753853289 hasRelatedWork W2478008440 @default.
- W2753853289 hasRelatedWork W3023486793 @default.
- W2753853289 hasRelatedWork W3123704647 @default.
- W2753853289 hasRelatedWork W3124310377 @default.
- W2753853289 hasRelatedWork W3126081515 @default.
- W2753853289 hasRelatedWork W3130035989 @default.
- W2753853289 isParatext "false" @default.
- W2753853289 isRetracted "false" @default.
- W2753853289 magId "2753853289" @default.
- W2753853289 workType "article" @default.