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Artigo de Investigador do ISEG publicado na revista Journal of Banking and Finance

Investigador Cemapre António BastosFoi aceite para publicação na revista científica Journal of Banking and Finance o artigo com o título "Forecasting bank loans loss-given-default", da autoria de João A. Bastos, Investigador do Centro de Matemática Aplicada à Previsão e Decisão Económica (CEMAPRE) do Instituto Superior de Economia e Gestão.

O trabalho agora aceite para publicação propõe uma nova abordagem para a modelização da perda dado o incumprimento de empréstimos bancários, que permitirá às instituições financeiras melhorar o desempenho dos modelos internos de cálculo dos requisitos de capitais próprios, consagrados no acordo Basileia II.

Abstract: With the advent of the new Basel Capital Accord, banking organizations are invited to estimate credit risk capital requirements using an internal ratings based approach. In order to be compliant with this approach,institutions must estimate the loss-given-default, the fraction of the

credit exposure that is lost if the borrower defaults.  This study evaluates the ability of a parametric fractional response regression and a nonparametric regression tree model to forecast bank loan credit losses. The out-of-sample predictive ability of these models is evaluated at several recovery horizons after the default event. The out-of-time predictive ability is also estimated for a recovery horizon of one year. The performance of the models is benchmarked against recovery estimates given by historical averages.  The results suggest that regression trees are an interesting alternative to parametric models in modeling and forecasting loss-given-default.