Working Paper CNR-Ircres 12/2020                       
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Unexpected loss multiperiodale e pricing del rischio di credito

Multiperiod unexpected loss and credit risk pricing

Franco Varetto

CNR-IRCrES, Consiglio Nazionale delle Ricerche – Istituto di Ricerca sulla Crescita Economica Sostenibile, Italia

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Abstract

The banks’ capital regulation is essentially static in nature and considers the regulatory requirement as the difference between two expected losses: the first is based on a stressed probability of default and the second is based on the expected probability of default. The framework defined in this paper considers the credit risk as the volatility of the discounted credit losses, that is coherent with the credit risk pricing. Nevertheless, there are some open questions in this framework, as the calibration of the capital requirement and the different kinds of correlations to be estimated.

Keywords: credit risk, expected loss, unexpected loss, credit pricing, Basel capital accord, banks’ regulation.

JEL codes: C63, G21, G28, G32, G33

DOI: 10.23760/2421-7158.2020.012

 

How to Cite this Article

Varetto, F. (2020). Unexpected loss multiperiodale e pricing del rischio di credito (CNR-IRCrES Working Paper 12/2020). Istituto di Ricerca sulla Crescita Economica Sostenibile. Disponibile da http://dx.doi.org/10.23760/2421-7158.2020.012

 

 

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