Bank-sourced credit transition matrices: Estimation and characteristics
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F21%3A10416218" target="_blank" >RIV/00216208:11230/21:10416218 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=cuUTfD8rS7" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=cuUTfD8rS7</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ejor.2020.06.024" target="_blank" >10.1016/j.ejor.2020.06.024</a>
Alternative languages
Result language
angličtina
Original language name
Bank-sourced credit transition matrices: Estimation and characteristics
Original language description
This study proposes and analyses a novel alternative to credit transition matrices (CTMs) developed by credit rating agencies - bank-sourced CTMs. It provides a unique insight into estimation of bank-sourced CTMs by assessing the extent to which the CTMs depend on the characteristics of the underlying credit risk datasets and the aggregation method and outlines that the choice of aggregation approach has a substantial effect on credit risk model results. Further, we show that bank-sourced CTMs are more dynamic than those of credit rating agencies, with higher off-diagonal transition rates and higher propensity to upgrade. Finally, we create a set of industry-specific CTMs, otherwise unobtainable due to the data sparsity faced by credit rating agencies, and highlight the implications of their differences, signalling the existence of industry-specific business cycles. The study uses a unique and large dataset of internal credit risk estimates from 24 global banks covering monthly observations on more than 26,000 large corporates and employs large-scale Monte Carlo simulations. This approach can be replicated by regulators (e.g., data collected by the European Central Bank in the AnaCredit project) and used by organisations aiming to improve their credit risk models
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GA18-05244S" target="_blank" >GA18-05244S: Innovative Approaches to Credit Risk Management</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
European Journal of Operational Research
ISSN
0377-2217
e-ISSN
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Volume of the periodical
288
Issue of the periodical within the volume
3
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
14
Pages from-to
992-1005
UT code for WoS article
000574862600019
EID of the result in the Scopus database
2-s2.0-85087755526