originalni nauni rad

UDK 005.334:336.71

Viktorija Mii
Student doktorskih studija
viktorija.misic@gmail.com

INTERNI
MODELI
UPRAVLJANJA
KREDITNIM
RIZIKOM

Rezime
Bazelski Komitet je ustanovio predloge za
pristup zasnovan na unutranjem rejtingu (IRB
- Internal Rating Based) kapitalnih zahteva za
kreditni rizik. Pristup zasnovan na unutranjem
rangiranju ima za cilj da unapredi sigurnost i
ispravnost u finansijski sistem. Takav pristup,
koji se oslanja na bankarsku unutranju procenu
drugih strana ugovora (counterparties) i
izloenosti, ostvaruje dodatna osetljivost na
rizike (additional risk sensitivity), u kome
kapitalni zahtevi zasnovani na unutranjim
rejtinzima mogu da budu znatno osetljiviji
na pokretae (drivers) kreditnog rizika i
ekonomskih gubitaka u bankarskom portfoliju.
U prilog aktuelnosti teme, paket reformi Basela
III obuhvata, izmeu ostaloga, i kvalitetnije
pokrie rizika ukljuujui i kapitalni zahtev
za pokrie kreditnog rizika druge ugovorne
strane.
Kljune rei: kreditni rizik, rejting, banka,
obveznice, izloenost, verovatnoa neplaanja,
gubici u sluaju neplaanja, izloenost gubicima

Rad primljen: 03.04.2012.

Odobren za tampu: 18.06.2012.

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JEL klasifikacija: G21, G32

10

original scientific paper

UDC 005.334:336.71

Viktorija Mii
PhD student
viktorija.misic@gmail.com

Summary
Basel Committee set out proposals for the
internal rating based approach - IRB to the
credit risk capital requirements. This approach
is based on internal rating with the objective
of enhancing the financial system safety and
fairness function. The approach based on the
banks internal rating of the counterparties and
exposure is providing additional risk sensitivity,
where capital requirements are based on
internal ratings that may be significantly more
sensitive to the credit risk and economic loss
drivers in the bank portfolio. In support to the
relevance of this topic, Basel III reform package
covers, among others, also a higher quality risk
coverage including capital requirement for the
counterparty credit risk.

INTERNAL
MODELS
FOR THE
CREDIT RISK
MANAGEMENT

Key words: credit risk, rating, bank, bonds,

exposure, probability at default - PD, loss given
default - LGD, exposure at default - EAD.

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JEL Classification: G21, G32

11

Paper received: 03.04.2012

Approved for publishing: 18.06.2012

Pojam i karakteristike rejting sistema

Kreditni rizik je primarni finansijski
rizik u bankarskom sistemu. Identifikovanje
i rejting kreditnog rizika je kljuni prvi
korak u efektivnom upravljanju kreditnim
rizikom. Proces upravljanja sistemom rejtinga
dozvoljava menadmentu banke da upravlja
rizicima kako bi optimizirao prihode. Interni
rejtinzi su sumarni indikatori rizika svojstven
individualnom kreditu analiziranom od strane
banke. Rejtinzi sadre procenu rizika gubitaka
zbog neispunjenja obaveze druge strane a
zasnivaju se na razmatranjima odgovarajuih
kvantitativnih i kvalitativnih informacija. U
bankama izloenost svakog internog stupnja se
tretira prema njihovim specifinim i merljivim
karakteristikama
gubitka.
Verovatnoa

neplaanja (PD - Probability at Default) i ostale

dve komponente rizika LGD (Loss Given
Default - gubici u sluaju neplaanja) i EAD
(Exposure At Default - izloenost gubicima,)
su kljuni ulazni parametri kalkulacije
regulatornog kapitala. Samim tim, validacija
ovih komponenata i rejting sistema je kljuna
komponenta procesa pregleda supervizora.
Pristup zasnovan na internom rejtingu (IRB)
u Novom Bazelskom Kapitalnom dogovoru
dozvoljava bankama da koriste sopstvene
modele rejtinga kod procene verovatnoe difolta
(PD) sve dok sistemi ispunjavaju propisane
minimalne zahteve. U skladu sa tim, oekivani
gubici se izraunavaju:
EL=PD*LGD*EAD

Tabela 1. Zato odabrati IRB?

STD prema IRB

Standardni pristup

IRB pristup

Individualna procena
rizika

Samo eksterni rejtinzi

Interni rejtinzi i PD

Primenjeni PD zadat na osnovu

regulatora
Veliki deo portfolia je neocenjen
(eksterno)
Bez eksplicitne vrednosti LGD
Ogranieno prepoznavanje
kolaterala

Ceo portfolio moe biti obuhvaen

Interni LGD
Proireno prepoznavanje
kolaterala

Portfolio procene rizika

Jednostavni stepeni

Kompleksna funkcija integracije

parametara rizika
Izvedena iz najnovijeg
ekonomskog modela

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Bez ekonomskog utemeljenja

12

The notion and characteristics of the

rating system
Credit risk is the primary risk in the banking
system. Credit risk identifying and rating
is the crucial first step in effective credit risk
management. The process of the rating system
management allows the bank management
to manage risks in order to optimize profits.
Internal ratings are the summary risk indicators
particular to each individual credit analyzed by
the bank. Ratings contain risk assessment in case
of the counterparty default, and are based on
the assessment of corresponding quantitative
and qualitative information. In banks, the
exposure on every internal level is treated
according to their specific and measurable loss

characteristics. Probabilities of default - PD, and

the other two risk components, of the loss given
default - LGD and the exposure at default - EAD,
are the key input parameters for the calculation
of the regulatory capital. Hence the validation
of these components and the rating system is
the key component of the supervisory review
process. The internal rating based approach
- IRB, under the new Basel Capital Accord,
allows the banks to use their own rating models
in the assessment of the probability at default
- PD, for as long as the systems are complying
with the minimum prescribed requirements.
In accordance with this, the expected losses are
calculated as follows:
EL=PD*LGD*EAD

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Table 1 Why chose the IRS?

13

STD vs IRB

Standard approach

IRB approach

Individual risk
assessment

Only external ratings

Internal ratings and PD

Implemented PD provided by the

regulator
Large section of the portfolio
remains unappraised (externally)
Without any explicit LGD value
Limited recognition of collaterals

The portfolio can be appraised in

its entirety
Internal LGD
Expanded recognition of
collaterals

Risk assessment
portfolio

Simple grades

Complex function of risk parameters

integration

Without economic grounds

Derived from the latest economic

model

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Tabela 2. Proces rejtinga rizika

14

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Table 2. Risk rating process

15

Statistika teorija nudi razliite metode

graenja i procene modela rejtinga. Fokus
je na statistikim metodama to ukljuuje
parametarske modele, kao to su linearna
regresiona analiza, diskriminantna analiza,
analiza binarnog odgovora, metode vremenski
diskretnih panela, modele hazarda i
neparametarske modele kao to su to neuralne
mree i stabla odluka.
Neuralne mree su kao alternativa
parametarskim
modelima.
One
nude
fleksibilniji dizajn i predstavljaju spoj izmeu
nezavisnih i zavisnih varijabli. Neuralne mree
pripadaju klasi neparametarskih metoda. One
su inspirisane uticajem biolokih nervnih
sistema, kao to je mozak i procesom obrade
informacija. One se tipino sastoje od mnogo
nodova (vorova) koji odailju odreeni
output u sluaju da prime specifini input od
drugog noda u mrei sa kojim su povezani.
Kao i parametarski modeli i neuralne mree se
obuavaju putem uzoraka za obuavanje koji
korektno klasifikuju dunike. Finalna mrea se
ostvaruje prepodeavanjem meuveza izmeu
inputa, outputa i bilo kojih potencijalnih
meuveza nodova.
Stabla odluke su poznata i kao stabla
klasifikacije. Stabla predstavljaju modele koji
se sastoje iz seta ako-onda uslova deljenja kod
sluajeva klasifikacije na dva ili vie razliitih
grupa. Pod ovakvim metodama osnovni uzorak
se deli na grupe u skladu sa kovarijatima. U
sluaju binarne klasifikacije, na primer, svaki
nod stabla je dodeljen pravilu odluivanja
koje opisuje uzorak u skladu i deli ga na dve
podgrupe. Sada se proces posmatranja razvija
nanie preko drveta u skladu sa pravilom
donoenja odluka sve do krajnjeg noda u
razgranatoj emi stabla, koji tada predstavlja
klasifikaciju ovog posmatranja.
Jedan
od
najupeatljivih
razlika
parametarskih modela je ta da su kovarijati
tretirani kao kategorijske varijable. Nadalje, u
sluaju kada specifina varijabla ili kategorija
postaje relevantna u zavisnosti od kategorije
ili varijable iz prethodnog nivoa. Na primer,
varijabla godine u biznisu je relevantna
za kompanije koje posluju u graevinskom

sektoru. Ova vrsta zavisnosti izmeu varijabli

se naziva interakcijom.
Statistiki rejting sistemi primarno ukljuuju
pretragu zavisnih varijabli koje daju jasne
i pouzdane procene naruavanja situacije
dunika kao mogue. Statistiki modeli se mogu
opisati kao polazna taka svakog modela koji
koristi karakteristike dunika kao indikatore
i eventualno makroekonomske varijable koje
su sakupljene kroz istorijske podatke i nalaze
se na raspolaganju kod opisivanja dunika u
difoltu. Ako se definiu karakteristike dunika
kao vektor od n razliitih varijabli (koje
takoe nazivamo kovarijantama) tako da je x
= x1, ..., xn posmatranih u vremenu t-L. Stanje
difolta se oznaava binarnom varijablom x
koju posmatramo u vremenu t. Varijabla y se
definie kao y=1 u sluaju difolta i y=0 kada
nema difolta.
U zavisnosti od statistike primene ovih
podataka razliite metode se mogu koristiti
radi predvianja osobina. Zajednika osobina
ovih metoda lei u injenici da one procenjuju
korelaciju izmeu karakteristika dunika
i stanja difolta u prolosti i koriste ovu
informaciju radi graenja modela predvianja.
Model predvianja se projektuje da procenjuje
bonitet dunika sa poznatim osobinama. Ovo
se postie uvoenjem karakteristika x u model
gde je izlazna veliina modela procenjeno
ponaanje. Vremenski pomak L izmeu x i y
odreuje horizont predvianja.

Regresiona analiza
Regresioni model uspostavlja linearni odnos
izmeu karakteristika dunika i varijable
difolta prema:
yi= x xi + ui. (1)
Ovde yi oznaava da li se dunik i nalazi u
difoltu (kada je yi = 1) ili ne nalazi u difoltu (pa
je yi=0). U vremenskom periodu t, xi predstavlja
vektor karakteristika dunika posmatranih u
periodu t-L dok veliina predstavlja vektor
parametara koje zahvataju uinak promene
karakteristika na varijablu difolta. Rezidualna
varijabla je ui koja sadri varijacije koje nisu
obuhvaene karakteristikama xi. Standardna
procedura podrazumeva procenu (formula 1)

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Statistiki modeli u razvoju rejting

sistema

16

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Statistical models in the rating

systems development

17

Statistical theory offers different models

for the building up and assessment of the
ratings model. The focus is on the statistical
methods that include parametric models, such
as the linear regression analysis, discrimination
analysis, binary response analysis, methods of
time discreet panels, hazard models, and nonparametric models such as the neural networks
and the decision trees.
Neural networks serve as an alternative
to the parametric models. They offer a more
flexible design and are an interconnection
between independent and dependent variables.
Neural networks belong in the class of nonparametric methods. They are inspired by the
impact of the biological neural systems, such
as the brain, and the information processing
procedure. They are typically composed of
many nodes that are sending the given output
in case of receiving a given input from another
node in the net where they are connected. Not
unlike parametric models, neural networks
are also having a learning process from the
instruction examples which are correctly
classifying obligors. The final network is
achieved through the readjustment of the
input - output interconnection, and any other
potential nodes interconnection.
The Decision trees are also known as
Classification trees. Decision trees are the models
which consist of a set of if-and-then attributes
for the division in case of classification into two
or more different groups. The main example in
such methods is being divided into groups in
accordance with the co-variants. In case of a
binary classification, for example, each node of
the Tree is attributed to the Rule of induction
which cuts the space of the example parallel to
the two sub-groups. The observation process
now develops downwards, down the Decision
tree according to the Rule induction system, all
the way down to the final node in the branching
scheme of the Decision tree, which then stands
for the classification of this observation.
One of the most outstanding differences
between parametric models is that the covariants are treated as variable categories.
In addition, this is also the case when the

specific variable or category becomes relevant

depending on the category or the variable from
the previous level. For example, the years in
business variable for companies operating
in construction works is relevant. This type of
interdependency between variables is called
interaction.
Statistical rating systems primarily cover
the search for interdependent variables
which give clear and reliable assessment that
the deteriorating situation of the obligor is
possible. Statistical models may be described
as the starting point for every model which is
using obligors characteristics as indicators,
and eventually macro-economic variables
gathered through the historical data available
when describing the obligor in default. If the
obligor characteristics are defined as vector n
of different variables (which we also call covariances), the x = x1,,xn in the observed time
t-L. The default situation is designated with the
binary variable x which we observe in time t.
Variable y is defined as y = 1 in case of default,
and as y = 0 without default.
Depending on the statistical application of
these data, different methods may be used for
the forecast of characteristics. The common
feature of these methods is the fact that they are
assessing the correlation between the obligors
characteristics and the history of default in
the past, and are using this information for
purpose of building up the forecasting model.
Forecasting model is projected so as to evaluate
credit rating of the obligor with the known
characteristics. This is achieved by introducing
characteristic x into the model where the output
value of the model is the estimated conduct. The
time shift L between the x and y will determine
the forecasting horizon.

Regression analysis
Regression model establishes a linear
relation between the obligors characteristics
and the default variable, as follows:
yi= x xi + ui. (1)
Where yi is designating whether the obligor
i is in default (when yi = 1) or he is not in default
(when yi = 0). Over the time period t, the xi is the

Si=E (yi / xi) = b x xi. (2)

Ova jednaina iskazuje stav da skor dunika
predstavlja oekivanu vrednost osobina
varijable kada su njegove karakteristike poznate.
Ovaj skor moe da se obrauna uvoenjem
vrednosti karakteristika dunika u linearnu
funkciju datu formulom 2. Skor Si je kontinuelna
veliina (dok je yi binarna varijabla), pa e zbog
toga izlaz modela dati rezultat unutar intervala
od 0 do 1. Predikcija moe da poprimi vrednosti
vee od 1 ili manje od 0. Ovo ima za posledicu
da rezultat proizaao iz modela ne moe da se
interpretira kao verovatnoa. Meutim, skor Si
moe biti uporebljen u svrhe poreenja izmeu
razliitih dunika gde je vea vrednost skora
Si je u korelaciji sa poveanim rizicima difolta.
Koristi i mane ovog modela formule 1 i 2 su
sledee:
1. Procenitelji po osnovu prostih najmanjih
kvadrata su dobro znani i lako primenljivi;
2. Model predvianja je linearni model
pa stoga jednostavan za izraunavanje i
razumenje;
3. Sluajna varijabla ui je heteroskedastine
prirode tj. varijansa ui nije konstantna za sve
vrednosti i poto:
VaR (ui) = VaR (yi) =E (yi / xi) x [1 - E (yi / xi)
] = b x xi (1 - b x xi)
(3)
Zbog toga je procena nedovoljna i
standardna greka koeficijenta procene b je sa
predrasudama. Jedan efikasan nain procene
b predstavlja primena ponderisanih najmanjih
kvadrata.

Analiza diskriminante
Analiza diskriminante je tehnika klasifikacije
koja se primenjuje na korporativne bankrote.
Linearna analiza diskriminante se zasniva na
proceni linearne funkcije diskriminante u cilju
odvajanja individualnih grupa (u ovom sluaju
grupa dunika u difoltu i dunika koji nisu u
difoltu) a na osnovu specifinih karakteristika.
Funkcija diskriminante glasi:

Si= x xi

(4)

Skor Si je varijabla diskriminante. Procena

funkcija diskriminante se temelji na sledeem
principu: Maksimizacija spreda izmeu grupa
(dobrih i loih dunika) i minimizacija spreda unutar
svake pojedine grupe. Maksimizacija odreuje
optimalne proporcije izmeu koeficijenata
vektora . Koeficijenti su normalizovani po
osnovu odabrane varijanse unutar grupe tako
da poprimaju vrednost 1. To ima za posledicu
da je veliina apsolutnog nivoa varijable
diskriminante Si proizvoljna i ne moe da se
intepretira na izdvojen nain. Kao i kod linearne
regresione analize Si moe da se koristi radi
poreenja predikcije za razliite dunike (vii
skor, vii rizik).

Logit i Probit modeli

Logit i Probit modeli predstavljaju
ekonometrijske tehnike osmiljene u cilju analize
binarnih zavisnih varijabli. Pristup sa latentnim
varijablama podrazumeva neprimetnu (latentnu)
varijablu y* koja se odnosi na karakteristike
dunika po sledeem obrascu:
y i* = x xi +ui

(5)

Ovde su veliine , xi i ui ve definisane a

varijabla y i* je metriki skalirana i poprima
vrednost binarne varijable difolta yi tako da je:

To znai da difolt nastaje onda kada latentna

varijabla pree vrednost praga od nule. Stoga,
verovatnoa deavanja difolta je jednaka:
P (yi = 1) = P (ui > x xi) = 1 - F (- x xi)
= F ( x xi)
(7)
Ovde veliina F(.) oznaava nepoznatu
distributivnu funkciju. Poslednji korak u
prethodnoj formuli podrazumeva da je
distributivna funkcija simetrike gustine oko
nule. Izbor distributivne funkcije F (.) zavisi
od distribucionih pretpostavki uinjenih oko
reziduala (ui). Ako se pretpostavi normalna

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prema prostim najmanjim kvadratima veliine

koji su dodeljeni na osnovu veliine b.
Procenjeni rezultat daje skor dunika Si koji
se obraunava kao:

18

vector of the obligors characteristics observed

over the period t-L, while the value is the
vector of parameters which cover the impact
of changes in the characteristics on the default
variable. Residual variable is the ui which
contains variations which are not covered by
the characteristics xi. The standard procedure
makes an assessment (equation 1) according to
the ordinary least squares of the value which
are allocated on the basis of the value b.
The estimated result offers the score for the
obligor Si which is calculated as follows:
Si=E (yi / xi) = b x xi. (2)

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This equation expresses the view that the

obligors score represented the anticipated
value of the characteristics variable when his
characteristics are known. This score may be
computed by the introduction of the obligors
characteristics value in the linear function given
in the equation 2. The score Si is a continuous
value (while the yi remains a binary variable),
hence the model output will give the result
within an interval from 0 to 1. Prediction may
acquire values higher than 1 or lower than 0.
This will have as a consequence the fact that
the result obtained from this model can not be
interpreted as a probability. However, the Si
score may be used for purpose of comparison
between different obligors where the higher
value of the score Si is in correlation with
the higher risk of default. Advantages and
disadvantages of the formula 1 and 2 models
are the following:
1. Estimates based on the ordinary least squares
are well known and easily applicable
2. Forecasting model is the linear model
and thus simple for computation and
understanding
3. Random variable ui is of a heteroscedastic
nature, i.e. it is not constant across all the
values, as:
VaR (ui) = VaR (yi) =E (yi / xi) x [1 - E (yi / xi)
] = b x xi (1 - b x xi)
(3)

19

Hence the estimate of is insufficient, and

the standard error of the estimate coefficient b
is prejudiced. An efficient way of estimating b is
the use of weighted least squares method.

Discriminant analysis
Discriminant analysis is the method of
classification used for predicting corporate
bankruptcies. Linear discriminant analysis
is based on the assessment of the linear
discriminate function used to separate two or
more individual classes (in this case classes of
obligors in default, and obligors who are not
in default), based on specific characteristics.
Discriminant function is as follows:
Si= x xi

(4)

The Si score is the discriminant variable.

Discriminant function estimate is based on
the following principle: Maximisation of spread
between classes (good and bad obligors) and
minimisation of spread within each particular
class. Maximisation determines optimum
proportions between coefficients of the vector
. Coefficients are normalised on the basis of
the selected variance within the class so as to
acquire value 1. This results in the fact that the
value of the absolute level of the discriminant
variable Si is random and can not be interpreted
in a separate way. Not unlike the case of the
linear regression analysis, Si may be used for
comparison of prediction for different obligors
(higher score, higher risk).

Logit and Probit models

Logit and Probit models are the econometric
techniques designed for purpose of analysing
binary dependent variables. The approach to
the latent variables requires a latent variable y*
which pertains to the obligors characteristics
according to the following equation:
y i* = x xi +ui

(5)

The values , xi, and ui are here already

defined, and the variable yi* is metrically scaled
and acquires the value of the binary default
variable yi, and gives the following:
if
else

Ako umesto reziduala pretpostavimo da

sledimo logaritamsku distribuciju dobijamo
rezultat iskazan kao Logit model funkcije
distribucije koji glasi:

Polazei od nastojanja da izvrimo procenu

verovatnoa difolta u Logit i Probit modelima
za jednog jedinog dunika dolazi se do toga da
verovatnoe difolta ne mogu biti posmatrane
kao ostvarenje verovatnoe difolta. Meutm,
kod grupa dunika uestanosti osmotrenih
dogaaja difolta se mogu interpretirati kao
verovatnoa difolta. Polaznu osnovu je procena
najmanjih kvadrata u sledeoj regresiji:
pi = b x xi + ui

(10)

U ovoj jednaini indeks i oznaava grupu

koju ini broj individua, pi je frekvencija
difolta u posmatranoj grupi i, dok je veliina
xi karakteristika posmatrane grupe i. Ovaj
model meutim nije odgovarajui. Potrebno je
razmotriti ishod koji nije ogranien na veliine
izmeu nule i jedinice pa stoga i ne moe da se
interpretira kao verovatnoa (a to je funkcija E
(yi / xi) =b x xi).
Poto je uopteno uzevi neverovatno
pretpostaviti da verovatnoa moe biti
obraunata kao linearna funkcija linearni izraz
b x xi treba transformisati kao nelinearnu
funkciju (link funkciju F):
pi=F (b x xi)

(11)

Ova odgovarajua link funkcija transfomie

veliinu b x xi u srazmeri unutar zatvorenog
interval [0,1]. Ovo se ostvaruje na osnovu bilo
koje distributivne funkcije. Izbor odgovarajue
link funkcije odreuje tip modela: sa logistikom
funkcijom linka ova jednaina 11 postaje
Logit model dok sa normalnom distribucijom
(jednaina 11) dobijamo rezultate iskazane
kroz Probit model. Meutim, kod procenjivanja
pomou najmanjih kvadrata (jednaina 10),

koeficijenti e biti heteroskedastini stoga

to je VaR (ui) = VaR (pi) = p (xi) x (1 - p (xi) ).
U statistici niz sluajnih varijabli predstavlja
heteroskedastini skup ako i samo ako sluajne
varijable imaju razliite varijanse. Niz sluajnih
varijabli koji ima konstanstnu varijansu naziva
se homoskedastian.
Snaga stabilnosti Logit i Probit modela moe
sumarno da se iskae kao:
Metodi su zasnovani na teoriji,
Dobijeni rezultati se mogu direktno
interpretirati kao verovatnoa difolta,
Znaajnost modela i individualni koeficijenti
se mogu testirati.

Statistiki pristup PD validacije

(probability of default - verovatnoa
neplaanja)
Verovatnoa difolta je rizik da dunik nee
biti sposoban ili je nevoljan da isplati svoj
dug u potpunosti ili na vreme. Rizik difolta
proizilazi iz analiziranja kapaciteta dunika
da isplati dug u saglasnosti sa uslovima
ugovora. Verovatnoa difolta je opte povezana
sa finansijskim karakteristikama kao to je
neadekvatan cash flow radi servisiranja duga,
opadanje prihoda ili operativnih margina, visok
leverid, opadanje likvidnosti, ili nesposobnost
uspenog implementiranja poslovnog plana.
U dodatku ovih merljivih faktora, dunikova
volja da isplati dug mora takoe biti procenjena.
Statistike analize rejting sistema i funkcija
skora su zasnovane na pretpostavki da postoje
dve kategorije dunika u banci:
Dunici koji e biti u difoltu u nekom
definisanom vremenskom horizontu i
Dunici koji nee biti u difoltu u nekom
vremenskom periodu.
Obino nije poznato da li jedan dunik
pripada prvoj ili drugoj kategoriji. Banke
se suoavaju sa dihotomnom (ili binarnom)
klasifikacijom problema poto one treba
da procene budui status jednog dunika
kroz izvor njegovih trenutnih dostupnih
karakteristika.
Diskriminacija je procedura primene alata
za klasifikaciju jednog dunika, za procenu
njegovog budueg statusa. Diskriminatorna
snaga rejting sistema obeleava svoju sposobnost
diskriminisanja ex-ante izmeu dunika koji su

bankarstvo 4 2012

distribucija tada vai Probit model gde je

distributivna funkcija definisana kao:

20

This means that the default occurs when

the latent variable crosses the threshold value
of zero. Hence the probability of default is equal
to the following:
P (yi = 1) = P (ui > x xi) = 1 - F (- x xi)
= F ( x xi)
(7)
The value F(.) here designates the unknown
distribution function. The last step in the
previous equation implies that the distribution
function of symmetric density is around zero.
The choice of distribution function F(.) depends
on the distribution assumptions made around
the residual (ui). If the assumption is a normal
distribution, then the Probit model applies where
the distribution function is defined as follows:

If we are to assume, instead of a residual,

to be following the logarithmic distribution,
the result obtained as a Logit model of the
distribution function will be as follows:

If we are to engage in making the prediction

of the probability of default, in both the Logit and
the Probit models, for solely one single obligor,
what results is that the probabilities of default
can not be observed as the materialisation of
the probability of default. However, in case
of a group of obligors, the frequency of the
observed default events may be interpreted as
the probability of default. The starting point is
the estimate of the least squares in the following
regression:

bankarstvo 4 2012

pi = b x xi + ui

21

(10)

In this equation index i designates the group

composed of a number of individuals, where
pi is the frequency of default in the observed
group i, and the value xi is the characteristic
of the observed group i. This model, however,
is not adequate. It is necessary to observe the
outcome which is not limited to the values
between zero and one, and thus can not be
interpreted as a probability (and this is the
function E (yi/xi)=b x xi).

Generally speaking, as it is improbable to

assume that the probability can be calculated
as a linear function, the linear expression b x
xi should be transformed into a non-linear
function (link function F):
pi=F (b x xi)

(11)

This corresponding link function transforms

the value b x xi in proportion within the closed
interval [0,1]. This is achieved on the basis of
any distribution function. The choice of the
corresponding link function shall determine the
type of the model: with the logistic link function
this equation 11 becomes Logit model, while
with the normal distribution (equation 11) we
obtain the results expressed through the Probit
model. However, when estimating by means of
the least squares (equation 10), coefficients will
be heteroscedastic because VaR(ui) = VaR(pi) =
p(xi) x (1 - p(xi)0. In statistics, a series of random
variables represents a heteroscedastic set if
and only if the random variables are having
different variances. The series of random
variables which is having a constant variance
is called homoscedasticity.
The power of stability of the Logit and
Probit models may be summarily expressed as
the following:
Methods are based on theory;
Results obtained may be directly interpreted
as the probability of default;
Significance of the model and individual
coefficients may be tested.

Statistical approach to the

probability of default - PD validation
Probability of default is a risk that the obligor
will not be able or willing to repay his debt
either fully or in time. The risk of default derives
from the analysis of the obligors capability to
discharge debt liabilities under contractual
terms. Probability of default is generally
connected with the financial characteristics
such as an inadequate cash flow for debt
servicing or operative margin high leverage,
fall in liquidity, or inability to implement
business plan successfully. In addition to these
measurable factors, what remains is obligors
willingness to repay his debt which must also

testa je umerena i uglavnom primenljiva na

kratkovremenske serije (na primer do 5 godina).
Pristup saobraajnog semafora je (za razliku
od normalnog testa) potpuno nezavisan od bilo
kakvih pretpostavki o konstantnosti veliine
verovatnoe difolta u vremenu. Distribucija
broja difolta u toku jedne godine priblino
podlee normalnoj distribuciji.

Modeliranje LGD u bankarskom

sektoru (Loss Given Default - gubici
u sluaju neplaanja)
LGD (gubici u sluaju neplaanja) je vaan
element pristupa zasnovan na unutranjem
rejtingu merenja kapitala (IRB pristup). LGD
je finansijski gubitak banke koji se desio kada
dunik ne moe ili ne eli da isplati svoj dug.
Validacija internog merenja LGD-a je krucijalna
za validaciju pogodnosti merenja kapitala. LGD
je posebno vaan jer su zahtevi minimalnog
regulatornog kapitala visoko osetljivi na
gubitke u sluaju neplaanja. Kljune teme koje
dotiu LGD su:
ta LGD znai i koja je njegova uloga u
pristupu zanovanom na unutranjem
rejtingu?
Kako je LGD definisan i na koji se nain meri?
ta pokree razliitosti vrednosti LGD?
Koji pristupi mogu da se uzmu radi
modeliranja ili procenjivanja LGD?
Faktori koji igraju kljunu ulogu kod svake
procene baninog LGD-a i upotrebljenog
modela su kapitalna struktura, prisustvo i
kvalitet kolaterala, industrijski sektor i tajming
poslovnih ciklusa
Po definiciji dugovni instrument moe
iskusiti gubitak samo ako je postojao difolt.
Svakako ne postoji standardna definicija difolta.
Razliite definicije se mogu koristiti za razliite
svrhe. Tipino se difolt deava kada se deavaju
sledei sluajevi:
Zajam je postavljen kao neizvren;
Charge off se ve desio.
Dunik je vie od 90 dana u docnji;
Dunik je zapao u bankrotstvo.
Pre poetka bilo koje LGD procedure
procene neophodno je definisani gubitak.
Prvo, ekonomski gubici nisu isto to i
raunovodstveni gubici: definicija gubitaka
koja se koristi u proceni LGD-a je ekonomski

bankarstvo 4 2012

u difoltu i onih koji to nisu. Razliite statistike

metodologije procene diskriminatorne snage
popularne u bankarskom sektoru su:
Profil kumulativne preciznosti (Cumulative
Accuracy Profile - CAP) i njegov sumarni
indeks, racio preciznosti (Accuracy Ratio);
Operativne karakteristike primaoca (Receiver
operating characteristic - ROC) i njegovi
sumarni indeksi: Oblast ispod ROC (AUROCArea Under the ROC) i Pietra koeficijent;
Stopa Bajesinove greke;
Uslovna entropija, Kulbek-Lejbrelovo
rastojanje, Uslovna informativna entropija;
Vrednosti informacije (divergencija, indeks
stabilnosti);
Kendelovt i SomerovD;
Brijerov skor.
Entropija je koncept iz teorije informacija
koji se odnosi na iskljuenje nesigurnosti u
eksperimentu. Posmatranje dunika u vremenu
sa namerom da se donese odluka o njegovom
solventnom statusu moe da se interpretira kao
jedan eksperiment.
Brijerov skor je procenitelj uzorka razlike
srednjih kvadrata varijabli indikatora difolta (na
primer, vrednost 1 se dodeljuje u sluaju difolta
i vrednost nula u sluaju preivljavanja) u
portfoliju i predvidjanja vrednosti verovatnoce
difolta za rejting kategorije ili vrednosti skora.
Brierov skor nije mera sa kalibracionom
preciznou.
U praksi banina procena vrednosti
verovatnoe difolta e se razlikovati od
posmatrane stope difolta. Kljuno pitanje je da
li je ova devijacija isto sluajna ili se deava
sistematski. Kvalitet procena verovatnoe difolta
treba sagledati u svetlu sledeih metodologija:
1. Binominalni test,
2. Hi kvadrat test,
3. Normalni test,
4. Pristup saobraajnog semafora.
Normalni test predstavlja multiperiodni
test korektnosti predvianja verovatnoe
neplaanja kod jedne jedine rejting kategorije.
On se primenjuje pod pretpostavkom da srednja
stopa difolta ne varira previe u vremenu i
da je nastajanje difolta u razliitim godinama
nezavisno. Normalni test je motivisan
centralnom graninom teoremom i zasnovan
je na normalnoj aproksimaciji distribucije
vremenski usrednjenih stopa difolta. Snaga

22

bankarstvo 4 2012

23

be assessed. Statistical analysis of the rating

system and the score function are based on the
assumption that there are two categories of the
banks obligors:
Obligors who will be in default over some
defined time horizon, and
Obligors who will not be in default over
some time period.
Usually it is not known whether an obligor
belongs in the first or in the second category.
Banks are faced with the dichotomous (or
binary) classification of the problem as they
are the ones to predict the future status of one
obligor through the source of his currently
available characteristics.
Discrimination is a procedure of the
classification tools application on one obligor,
for purpose of assessing his future status.
Discriminatory power of the rating system
marks its discriminatory capability ex ante
between obligors who are in default and those
who are not. Different statistical methodologies
of discriminatory power assessment, popular in
the banking sector, are the following:
Cumulative Accuracy Profile - CAP and its
summery index, the Accuracy Ratio;
Receiver Operating Characteristics - ROC
and its summary indices: Area Under the
ROC - AUROC, and the Pietra Ratio;
Bayesian Rate Error;
Conditional entropy, Kullback-Leibler
Divergence,
Conditional
Informative
Entropy;
Information value (divergence, stability
index);
Kendalls tau and Somers D;
Brier Score.
Entropy is the concept from the information
theory that pertains to the elimination of
uncertainty in an experiment. Observation of
an obligor over a time period with the intent
of deciding on his solvency status may be
interpreted as one such experiment.
The Brier Score measures average squared
deviations between default indicator variables
(for example, value 1 is allocated in case of a
default, and the value zero in case of a survival)
in a portfolio and the predicted value of the
probability of default for rating categories, or
for the score value. The Brier Score is not a
measure with calibrated precision.

In practice, the banks prediction of the

probability of default value will differ from
the observed default rate. The key question
is whether this deviation is purely random,
or it happens systematically. The quality of
the probability of default prediction should
be assessed in the light of the following
methodologies:
1. Binomial test;
2. Hi square test;
3. Normal test;
4. The Traffic Light Approach.
The Normal Test is a multi-periodical testing
of correct prediction for the probability of
default in solely one single rating category. It
is being applied under the assumption that the
average default rate is not showing excessive
variation over time, and that the default events
during different years occur independently.
Normal Test is motivated by the central
limiting theorem and is based on the normal
approximation of distribution of the time
averaged default rates. The testing power is
moderate and mainly applicable on short time
series (for example, up to 5 years).
The Traffic Lights Approach (as an opposite
of the normal test) is completely independent
from any assumptions on the constancy of
the probability of default value over time.
Distribution of the number of defaults over one
year approximately has a normal distribution.

Loss Given Default - LGD modeling

in the banking sector
Loss given default - LGD is an important
element in the internal rating based approach
- IRB to the capital measurement. LGD is the
financial loss of the bank that occurs when an
obligor can not or will not repay his debt. The
LGD internal rating validation is of crucial
importance for the validation of the capital
measurement facility. LGD is especially
important as the minimum requirements for
the regulatory capital are highly sensitive to the
loss given default. The key topics impacting the
LGD are the following:
What is the meaning of the LGD and what is
its role in the internal rating based approach?
How is the LGD defined and how is it
measured?

 Ukljuiti sve relevantne informacije radi

procene parametara rizika i
Ukljuiti podatke na relevantnim drajverima
gubitaka (pokretaima gubitaka).
LGD se definie kao odnos gubitka naspram
izloenosti u sluaju difolta. U sluaju nastanka
difolta LGD sadri sledee tipove gubitaka:
Gubitak glavnice;
Carrying costs (finansijski trokovi, trokovi
kamata po osnovu obveznica, trokovi
kamata po osnovu zajmova radi plaanja
hartija od vrednosti, ekonomski trokovi;
trokovi koji se poveavaju sa poveanjem
nivoa investicija u obrtni kapital; trokovi
dranja zaliha od datuma nabavke
do datuma prodaje) po neostvarenim
zajmovima na primer: prihod po kamatama;
Workout trokovi (naplate, pravni trokovi...).
Kod obveznica i zajmova koji su uli u
difolt, a sa kojima se trguje na tritu mogue
je posmatrati cene direktno sve dok se trgovina
stvarno i odvija. Studije oporavka koje su radile
rejting agencije su se zasnivale na ovakvom
pristupu. Stvarne cene su bile bazirane na
paritetu 100 (centa na dolar) pa su naknadno
lako bile prevedene u procente oporavka (ili
LGD kao 100% minus procenat oporavka). Ove
cene predstavljaju rezultat trinih transakcija.

Komponente workout LGD-a

Tri glavne komponente za izraunavanje
workout gubitaka su: oporavljanja (ke ili ne
ke), trokovi (direktni i indirektni) i diskontni
faktor (eskontni faktor, stopa koja se koristi za
dobijanje neto-sadanje vrednosti novca koji e
biti isplaen u budunosti) koji su osnova za
graenje svih cash flow-a u pojmu monetarne
jedinice u datumu difolta.
Ako su svi cash flow-i povezani sa default
facility (uslugama) od datuma difolta do kraja
procesa oporavka su poznati (postoji kompletna
informacija):
Realizovani LGD = [1-(i Ri (r) - j Pj (r)
/ EAD)]
Gde Ri je svaki od i diskontni oporavak difolt
facility (usluga), pj je svaki od j diskontnog
plaanja ili trokova za vreme perioda oporavka
i r predstavlja diskontnu stopu (diskontna/

bankarstvo 4 2012

gubitak to ukljuuje materijalne efekte

diskonta i materijalne direktne i indirektne
trokove povezane sa prikupljanjem (collecting)
po izloenosti. Ekonomski gubitak moe biti
odreen korienjem razliitih metoda koje se
klasifikuju bilo u eksplicitnim ili implicitnim
metodama. Fokusiranje na eksplicitne metode,
kada je povezanost jednog ekonomskog
gubitka sa svakim elementom ukljuenih
u referentne setove podataka, dva razliita
pristupa se mogu koristiti: trini LGD i
workout LGD. Trini LGD zavisi od trinih
cena difolt usluga odmah nakon datuma difolta
(obino oko 30 dana). Veina rejting agencija u
svojim studijima o stopi oporavka koriste ovaj
pristup. Ovaj metod je koristan poto cene
odraavaju investitorske procene diskontnih
vrednosti oporavka (Eskontovani neto-novani
tok, tehnika procene investicije koja uzima u
obzir razliite vrednosti buduih prihoda u
zavisnosti od toga kada e biti ostvareni). Ako je
trite likvidno ili ako proizilazi iz okova koji
nisu povezani sa oekivanim oporavkom, ova
mera nee biti pogodna. Ovo je od posebnog
interesa za relativno nova kreditna trita.
Druga mera LGD, workout LGD, koristi
informacije o vrednosti gubitka iz workout-a.
Gubici povezani sa difolt facility (uslugama)
su izraunati kroz discounting cash flows,
ukljuujui trokove, koji su rezultat workout-a
od datuma difolta do kraja procesa oporavka.
Gubici se u tom sluaju mere kao procenat od
izloenosti difolta. Vremenski cash flow, trini
i workout LGD i diskontna stopa su krucijalni
u ovom pristupu.
Vana su tri pitanja u vezi LGD procene:
koje facilities (usluge) treba da se ukljue u
referentne setove podataka korienih u procenu
procene; kada je proces oporavka gotov; i kako
procene LGD koji koristi specifine definicije
difolta mogu biti transformisani na procene
pod drugim definicijama difolta. Za odreen
portfolio jedni interni ili spoljni referentni set
podataka je zahtevan radi procene parametara
rizika (PD, LGD i EAD) koji su potrebni za
unutranje korienje i izraunavanje kapitalnih
zahteva za IRB pristup. Ovi referentni setovi
podataka bi trebali:
Pokriti najmanje kompletan poslovni ciklus;
Obuhvatiti sve difoltove koji su se desili u
toku odreenog vremenskog okvira;

24

bankarstvo 4 2012

25

What is triggering differences in the LGD

values?
What are the approaches that may be applied
for modeling or evaluating the LGD?
Factors playing the crucial role in every
evaluation of the banks LGD and the model
applied are the capital structure, presence and
quality of collateral, industrial sector, and the
business cycle timing.
Per definition, the debt instrument may
suffer losses only in the presence of a default.
There is certainly no standard definition of a
default. Different definitions may be used for
different purposes. Typically, default occurs in
the case of the following events:
Loan remains unpaid;
Charge off has already occurred.
Obligor is more than 90 days in default;
Obligor has suffered bankruptcy.
Before starting on any of the LGD procedures
it is necessary to define loss. Firstly, economic
losses are not the same as the accounting losses:
definition of losses which is applied in the LGD
estimation is the economic loss which includes
material, tangible effects of the discount, and
the tangible direct and indirect costs related
to the collecting according to exposure.
Economic loss may be determined through the
use of different methods which are classified
either as the explicit or the implicit methods.
Focusing on the explicit methods, when the
connection of one economic loss is set with
every element included in the reference data
sets, offers two different approaches that may
be used: the marketing LGD, and the workout
LGD. The marketing LGD depends on the
market prices of default services immediately
after the date of default (usually some 30 days).
Most of the rating agencies in their studies on
the recovery rate are using this approach. This
method is useful as the prices are reflecting
investors estimates of the recovery discount
values (discounted net cash flows, investment
assessment techniques which are taking into
consideration different values of future income
depending on when they will be materialized).
If the market is liquid, or if it is coming out
of shocks that are not related to the expected
recovery, this measure will not be suitable.
This is especially interesting for the relatively
new credit markets. The other LGD measure,

the workout LGD, is using information on the

workout loss value. Losses connected with
the default facility are calculated through the
discounting cash flows, including costs, which
are the result of the workout from the default
date and up to the end of the recovery process.
Losses in this case are measured as a percentage
of the default exposure. Time cash flows, market
and workout LGD, and the discount rate, are
crucial in this approach.
There are three important questions arising
in connection with the LGD estimates: what
are the facilities to be included in the reference
data sets used in the estimation process; when is
the recovery process finished; and how can the
LGD estimate, using specific default definition,
be transformed into estimates under different
default definitions. For a certain portfolio what
is required is one internal or external reference
data set for purpose of evaluating the risk
parameter (PD, LGD, and EAD) which are
necessary for the internal use and calculation of
the capital requirements for the IRB approach.
These reference data sets should allow for the
following:
Cover the least complete business cycle;
Include all the defaults occurring during the
given time frame;
Include all the information relevant for the
risk parameter evaluation; and
Include data on the relevant loss drivers.
LGD is defined as a ratio between loss and
the default given exposure. In case of a default,
the LGD contains the following loss types:
Loss of principal;
Carrying costs (financial costs, interest costs
on bonds, interest costs on loan for securities
payment, economic costs, costs accruing with
the higher level of investment into working
capital, costs of holding stocks from the
supply date to the selling date) on unrealized
loans, for example: interest income;
Workout costs (collections, legal costs).
In case of defaulting in bonds and loans
traded on the market it is possible to observe
prices directly for as long as trading is being
done in real time. Recovery studies made by
the rating agencies were based on such an
approach. Real prices were based on a 100 (cent
to dollar) parity, and were subsequently easily
translated into the recovery percentage (or LGD

eskontna stopa, kamatna stopa koju banke

zaraunavaju za obezbeivanje gotovine
za menice). Kada gubitak je izraunat kroz
uspostavljanje svih negativnih observacija
gubitaka nula, kao prikaz u formuli 12:
Realizovani LGD = Max[1-(i Ri (r) - j Pj
(r) / EAD), 0] (12)
Izraunavanje ekonomskih gubitaka difolt
usluga (facilities), korienje posmatranih
oporavka i trokova, neophodno je diskontovati
ih korienjem neke diskontne stope. Uticaj
izabrane diskontne stope na procene LGD-a je
posebno znaajno u portfolijima gde je period
oporavka dug i ima nizak nivo rizika. S obzirom
da je EAD direktno spregnut sa LGD neophodno
je istovremeno uzeti u obzir obe veliine.

u difolt u godini t gde se t kree u intervalu

t=1, ..., T oznaen je sa nt. Rezultirajue stope
oporavka i stope gubitaka normalno se nalaze
u opsegu izmeu 0 i 1 iako postoje odreeni
izuzeci. Stope oporavka koje su vee od 1 su
veoma neuobiajene. U ovim sluajevima sa
obveznicama se trguje po ceni iznad nominalne
ako je emitent uao u difolt. Ove vrednosti se
onda iskljuuju iz seta podataka u empirijskim
istraivanjima. Najpre se transformiu
vrednosti LGD:
Yt (i) =log LGD t (i) / (1 - LGDt (i) )

(14)

Preveden na periode stope oporavka dobija

se sledea relacija:
Yt (i) =log (1-Rt (i) ) /Rt (i) ) = -logRt (i) / (1-Rt (i) ) (15)
LGD se moe izraunati kao:

Statistiko modeliranje LGD procene

Set podataka uglavnom koristi podatke
o obveznicama. Stope oporavka (recovery
rate) e biti obraunate kao trine vrednosti
obveznica jedan mesec nakon nastanka difolta.
Veza izmeu LGD-a i stope oporavka moe biti
iskazana kao:
LGDt(i) =1 - Rt(i)

(13)

LGDt(i) i Rt(i) oznaeno kao LGD i stopa

oporavka obveznice i-te koja je ula u difolt u
godini t, i=1, ..., nt. Broj obveznica koje su ule

LGDt (i) = exp (yt (i) ) /1+exp (yt (i) )

(16)

Analogno, model koji se koristi u Bazelu 2 za

transformisanu vrednost yt (i) je specificiran kao
Yt(i) = + x ()1/2 x ft + x (1-)1/2 x t(i)

(17)

Sluajne varijable ft i t(i) su normalno

distribuirane,
dok
za
sve
varijable
pretpostavljamo da su nezavisne. Parameter
je nenegativan, dok su vrednosti varijable
ograniene na interval [0,1].
U sledeem koraku model opisan
jednainom 18 se proiruje ukljuenjem vrstih
i vremenski specifinih faktora rizika koji su
podloni posmatranju. Zavisnost po osnovu
ovih faktora rizika se specificira prema sledeoj
linearnoj aproksimaciji:+x
t (i) = 0+ 'x xt-(i) + ' x zt-1 (18)
Gde je malo i =1, , nt, t =1, , T.
Ovde se veliina xt-1 (i) karakterie kao vektor
emitenta i faktora specifinih za obveznicu koja
je posmatrana u prethodnom periodu. Primeri
za ovakve emitente i obveznice predstavljaju
rejtinzi emitenta u prethodnoj godini ili
seniority. Veliinom zt-1 oznaava se vektor
makroekonomskih varijabli koji predstavlja
potencijalne sistemske izvore rizika.

bankarstvo 4 2012

Primer 1.
Difolt nastaje po osnovu usluge vredne 1
milion ,
U trenutku nastanka defaulta povueno je
svega 500.000 ,
Postoji cena pravnih trokova od 1.000 po
godini, nakon difolta,
Nakon 2 godine objavljen je bankrot i banka
je povratila nazad 200.000 ,
Diskontna stopa iznosi 5%.

26

as a 100% minus recovery percentage). Such

prices are the result of market transactions.

LGD workout components

The three main components for the loss
workout computation are the following: recovery
(cash or no cash), costs (direct and indirect), and
the discount factor (discount factor, rate used for
acquiring net present value of money that will
be paid in future), which are the basis for the
building up of all the cash flows in the notion of
a monetary unit at the date of default.
If all the cash flows connected with the
default facility, from the date of default and up
to the end of the recovery process, are known (if
there is a complete set of information available):
Realized LGD = [1-(i Ri (r) - j Pj (r) /
EAD)]
Where Ri is every one of the i discount
recovery of the default facility, pj is every one
of the j discount payments or costs during the
recovery period, and r is a discount rate (discount
rate, interest rate that banks are charging on
providing cash for draft notes). When the loss
calculated through the establishment of all the
negative observations is zero, it is presented in
the form of the equation 12:
Realized LGD = Max[1-(i Ri (r) - j Pj (r)
/ EAD), 0] (12)

bankarstvo 4 2012

When calculating economic losses of the

default facilities, with the application of the
observed recovery and costs, it is necessary
to discount them through some discount rate.
The impact of the selected discount rate on the
LGD assessment is especially important in the
portfolios where the recovery period is long
and where the risk level is low. In view of the
fact that the EAD is directly connected to the
LGD it is necessary to take into account both of
these values simultaneously.

27

Default based on the facility worth 1 million

EUR;
At the time of default only 500,000 EUR were
withdrawn;
There is a price of legal costs of 1,000 EUR
per year, after default;
After 2 years, bankruptcy was announced
and the bank recovered 200,000 EUR;
Discount rate is 5%.

Statistical modeling of the LGD

prediction
Data set mainly uses the bonds data.
Recovery rate will be computed as the market
value of bonds one month after the event of
default. The connection between the LGD and
the recovery rate may be expressed as follows:
LGDt(i) =1 - Rt(i)

(13)

Where LGDt(i) is designated as the LGD

and the recovery rate of the bond i-te which
has defaulted in the year t, with i=1,,nt. The
number of bonds that have defaulted in the year
t where t runs in the interval t=1,, T is marked
with nt. The resulting recovery rates and the
loss rates normally are to be found in the range
between 0 and 1, although there are certain
exceptions. Recovery rates which are higher
than 1 are very unusual indeed. In such cases,
bonds are traded at the price above the nominal
if the issuer has defaulted. These values are
then being excluded from the data set in the
empirical research. The first to transform are
the LGD values:
Yt (i) =log LGD t (i) / (1 - LGDt (i) )

(14)

Translated into the periods of the recovery

rate, the following relation is obtained:
Yt (i) =log (1-Rt (i) ) /Rt (i) ) = -logRt (i) / (1-Rt (i) ) (15)
LGD may be also calculated as follows:

Example 1

LGDt (i) = exp (yt (i) ) /1+exp (yt (i) )

(16)

Izloenost kod difolta (EAD) predstavlja trei

ulazni parametar kod prorauna IRB kapitala.
Banke koje ele da koriste pristup zasnovan
na unutranjem rangiranju moraju da koriste
sopstvene procene vrednosti ovog parametra.
EAD predstavlja ukupan iznos gubitka sa kojim
se zajmodavac susree kada dunik upadne
u difolt po zajmu. Postoje razliiti naini
izraunavanja EAD u zavisnosti od osnovnog
ili naprednog pristupa. Dok kod standardnog
pristupa (IRB) obraunavanje EAD je usklaeno
do strane regulatora kod naprednog pristupa
banke uivaju veu fleksibilnost kod obrauna
EAD-a. Ove vrednosti ne uzimaju u obzir
garancije, kolaterale ili hartije od vrednosti.
CCF (Credit Conversion Factors) - faktori
kreditne konverzije mora da bude procenjen za
van bilansne transakcije i kreditna odobrenja.
Oni opisuju procenat stope nepovuenog dela
kreditne linije ULC (Undrawn Credit Lines) koje
nisu isplaene, ali koje moraju biti iskorienje
od strane dunika dok se default ne dogodi. U

BIS Bazel

skladu sa tim, EAD za nepovueni (undrown)

iznos je definisan kao: EAD = CCF x ULC
Opte uzevi varijacije u EAD nee biti
potcenjene razmatrajui izlozenosti bilansa
stanja. Ovo moe biti ilustrovano kroz sledei
primer. Dva kredita se koriste na nivou od 1.000
EUR i tako da nose kamatnu stopu od 6%. Za
kredit A se odnosi godinja dogovorena otplata
od 12 % a za kredit B mesena otplata od 1%.
Ako se pretpostavi da oba dunika prestanu
da plaaju svoje mesene otplate posle 11
meseci, to zapravo znai da je 90 dana difolta
u skladu sa Basel II difolt definicijom. Za kredit
A ovo znai da je u vreme difolta ukupan iznos
potraivanja od 1.000 EUR dato.
Na drugoj strani, 6% kamate = 6 EUR za jednu
godinu i kamata za period od 90 dana oko 1.6
EUR nisu bili plaeni. Ovo se dodaje ukupnom
iznosu potraivanja (EAD) od 107.6 EUR. Za
kredit B, ovo znai da 11 otplata i plaanja
kamate bie pravilni, i nadalje, ostatak iznosa
potraivanja je 89 EUR. Plaanje kamata za 12-ti
mesec, i za period preko, od 1.75 EUR mora biti
dodat. Ukupan iznos zahtevanih potraivanja
od strane klijenta (kupca) dodaje se do iznosa
oko 90.75 EUR. Ovo ogranienje je takoe od
priroritetnog kod LGD procene. Pretpostavimo
da klijent B vraa ukupan iznos potraivanja
od 90.75 EUR i sve povezane administrativne
trokove. U ovom sluaju banka nee navui na
sebe jedan ekonomski ili bilansni gubitak. Ali
ako se pretpostavi regulatorni EAD-definicija
za bilansna potraivanja, EAD se dodaje do 100
EUR i gubici (LGD) od oko 10% ce se desiti.
Razvoji EAD modela, uopteno uzevi,
zaostaju iza modela PD i LGD. Odsustvo
spoljnih mera ili modela predstavlja jednu
direktnu posledicu nedostatka ukljuivanja
akademskih eksperata ili konsultanata u proces
procene EAD.

Zakljuak
Orijentacija pristupa zasnovanom na
unutranjem rangiranju je u skladu sa razvojem
sistema menadmenta rizika kao pristupa
internog profila kreditnog rizika i kapitalne
adekvatnosti banke. Bankarsko poslovanje
je usmereno ka poboljanju znaajnosti i
kvantifikovanosti procene jedne od najosnovnijih
pokretaa kreditnog rizika - rizik od neizvrenja

bankarstvo 4 2012

Koncept procene EAD (Exposure At

Default - izloenost difoltu)

28

In an analogous mode, the model which

is being applied in Basel 2 Accord for the
transformed value yt(i) is specified as follows:
Yt(i) = + x ()1/2 x ft + x (1-)1/2 x t(i)

(17)

Random variables ft and (i) are normally

distributed while for all the variables we are
assuming that they are independent. Parameter
is non-negative, while the values of the
variable are limited to the interval [0,1].
In the next step, the model described in the
equation 18 is being expanded by the inclusion
of solid and time-specific risk factors which
are subject to observation. Dependency under
these risk factors is specified according to the
following linear approximation:
t (i) = 0+ 'x xt-(i) + ' x zt-1 (18)
where is small i=1, , n t =1, , T.
The value xt-1(i) is characterized as the vector
of the issuer and the factors specific for the bond
which was observed in the previous period. The
examples for such issuers and bonds are the
ratings of the issuers over the previous year or
seniority. The value zt-1 designates the vector of
macro-economic variables which represents the
potential sources of systemic risk.

bankarstvo 4 2012

The concept of the exposure at

default - EAD prediction

29

Exposure at default - EAD is the third input

parameter in the calculation of the IRB capital.
Banks wishing to use the internal rating based
approach must use their own calculation of
value of this parameter. EAD is the total amount
of losses encountered by the borrower when
the obligor defaults in his loan repayment.
There are different ways to compute the EAD
depending on whether the standard or the
advanced approach is applied. In case of the
standard IRB approach, the EAD calculation
is harmonized by the regulator, while in case
of the advanced IRB approach the banks are
enjoying higher flexibility in calculating the
EAD. These values are not taking into account
guarantees, collaterals, or securities.
The CCF - Credit Conversion Factors,
must be estimated for the off-balance sheet

transactions and credit approvals. They

describe the percentage of the undrawn credit
line rate which is not disbursed, but which
must be drawn by the obligor until the default
occurs. Concordantly, the EAD for the undrawn
amount is defined as follows: EAD = CCF x ULC
Generally speaking, EAD variations will not
be underestimated in examining the balance
sheet exposure. This may be illustrated through
the following example: Two credits are deployed
on the level of 1000 EUR with an interest rate of
6%. For credit A the annual agreed repayment is
12%, and for credit B monthly repayment is 1%.
Assuming that both obligors are to stop their
monthly repayments after 11 months, this will
actually mean that there are 90 days in default
in accordance with the Basel 2 Accord default
definition. For credit A this means that at the
time of default the total amount of 1000 EUR
claim was paid.
On the other hand, 6% interest rate = 6 EUR,
for one year and the interest for the period of
90 days some 1.6 EUR, have not been paid. This
is added to the total amount of claim (EAD) of
107.6 EUR. For credit B, this means that the 11
repayments and payment of the interest will be
correct, and furthermore, that the remaining
amount of claim is 89 EUR. Payment of interest
for the 12th month, and for the overdraft period,
of 1.75 EUR must be added. The total amount
of required claims from the client (customer)
is being added up to the amount of some 90.75
EUR. This limitation is also a priority importance
in the LGD estimate. Assuming that the client
B is repaying the total amount of his debt of
90.75 EUR, and all the related administrative
costs, in this case the bank will not draw upon
itself an economic or a balance sheet loss. But if
we assume that the regulatory EAD-definition
is for the balance sheet receivables-claims, the
EAD is added up to 100 EUR and the loss (LGD)
of some 10% will occur.
The development of the EAD models,
generally speaking, is lagging behind the PD
and the LGD models. The absence of exterior
measures or models is a direct consequence
of the reluctance of academic experts or
consultants to venture into the process of the
EAD assessment.

1. Alastair L. Day, Mastering Risk Modeling,

First Edition, England, 2003.
2. Bessis, J., Risk Management in Banking, John
Weley&Sons, Inc., New York, 2002.
3. Basel Committee on Banking Supervision,
Validation of low-default portfolios in the Basel
II Framework, Basel Committee Newsletter,
No. 6, 2005.
4. Basel Committee on Banking Supervision,
The New Basel Capital Accord, January 2001.
5. BIS, Credit risk transfer, January 2003.
6. Basel Committee on Banking Supervision,
Range of Practice in Banks Internal Ratings
System, January, 2000.
7. Basel Committee on Banking Supervision,
Implementation of Basel II: Practical
Considerations, July 2004.
8. Basel Committee on Banking Supervision,
International Convergence of Capital
Measurement and Capital Standards - A
Revised Framework, June 2004.
9. Basel Committee on Banking Supervision,
Studies on the Validation of Internal Rating
Systems, Revised version, May 2005.
10. Engelmann B. And Robert Rauhmeier, The
Basel II Risk Parameters: Estimation, Validation
and Stress Testing, Dresdner Bank, Berlin, 2006.
11. Greuning van H. and S. Brajovic-Bratanovic,
Analyzing and managing banking risk, Second
Edition, The World Bank, 2003.
12. Servigny de A. and O. Reanult, Measuring
and Managing Credit Risk, McGraw-Hill,
New York, 2004.
13. Roy van, P.: Credit ratings and the
standardised approach to credit risk in Basel
II, ECB, Working Paper, No. 517, August 2005.
14. Til Schuermann, What Do We Know About
Loss Given Default, The Wharton Financial
Institutions Center, New York, February 2004.

obaveza dunika. U skladu sa tim, mnoge

banke su poslednjih godina napravile znaajan
napredak
u
poboljanju
tradicionalne,
kvalitativno - orijentisane unutranje procene
kreditnog rizika kroz irenje sopstvenih
sposobnosti za kvantifikaciju kreditnog rizika
povezanim sa bankarskim izloenostima.

bankarstvo 4 2012

Literatura / References

30

Conclusion

bankarstvo 4 2012

The focus of the Internal Rating Based

approach is concordant with the development
of the risk management system as an approach
to the internal credit risk and the bank capital
adequacy profiling management. Banking
business is streamlined towards enhancing the
importance and quantification of assessment of

31

one of the most fundamental credit risk drivers

- the obligors defaulting risk. To that end, many
banks over the last several years have made
significant progress in the enhancement of
the traditional, qualitatively- oriented internal
credit risk rating, through the expansion of their
own capabilities for quantification of the credit
risk connected to the banking exposures.