MODELING建模 方法论

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1、QUANTITATIVERESEARCHGROUPJULY2014MODELINGRiskCalcBanksv4.0ModelMETHODOLOGYAuthorsAbstractYanruoWangDouglasDwyerTherehasbeenasignificantincreaseinthedemandforquantitativetoolsthatassessthedefaultJanetYinqingZhaoriskofbanksacrossdifferentgeographies.Poolingdatafrommo

2、rethan90countries,weseecommonalitiesinlinkingdefaultrisktoaspecificsetoffinancialratios.ThisfindingsuggeststhataAcknowledgementsprescribedsetoffinancialratios,properlytransformed,workswellinestimatingbanks’defaultriskWewouldliketothankShishengQu,inarobustfashion.He

3、atherRussellandJingZhangforhelpfuldiscussions.WealsothanktheCreditWiththisinsight,weconstructedtheRiskCalc™Banksv4.0Model,intendedforassessingtheResearchDatabase(CRD)teamandespeciallyKunJiaofordataassistance.probabilityofdefault(PD)forbanksacrossdifferentgeographie

4、sandregulatoryenvironments.Themodelprovidesaunifiedframeworktoassessbankriskacrossdifferentcountriesandregions,asContactUswellasdifferenteconomiccycles.Theone-yearmodelisbaseduponasetofwell-definedandAmericasready-to-calculatefinancialratiosthateffectivelymeasureba

5、nkprofitability,leverage,liquidity,+1.212.553.1653growth,andassetquality.Thefive-yearmodelcombinestheseratioswithameasurederivedfromclientservices@moodys.comaneconomiccapitalframeworkbaseduponportfoliotheory.Specifically,thismeasurecapturesEuropetheunexpectedlossof

6、abank’sloanportfoliorelativetoitsloss-absorbingcapital.Validation+44.20.7772.5454resultsshowthatthemodeldeliversstrongandrobustpowerinrankorderinghighriskbanksfromclientservices.emea@moodys.comlowriskbanks,andthattheresultsarerobustacrossgeographiesandbanksizes.Asi

7、a(ExcludingJapan)+85229161121Thisnoteisanabbreviatedoverviewofourfull-lengthmethodologypaper.Tolearnmoreaboutthisclientservices.asia@moodys.cocomprehensiveversion,pleasecontactMA_support@moodys.com.Japan+81354084100clientservices.japan@moodys.comQUANTITATIVERESEARC

8、HGROUPTableofContents1.Introduction32.DataDescription42.1FinancialData42.2DescriptiveStatistics43.ModelComponents53.1VariableTransforms63.2CCAMod