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1、外文翻译原文ModelingconsumercreditriskviasurvivalanalysisMaterialSource:SORT33(1)January-June2009，3-30Author:RicardoCao.JuanM.VelarandAndresDevi1.AbstractCreditriskmodelsareusedbyfinancialcompaniestoevaluateinadvancetheinsolvencyriskcausedbycreditsthatenterintodefault.Manymodelsforcreditr
2、iskhavebeendevelopedoverthepastfewdecades.Inthispaper,wefocusonthosemodelsthatcanbeformulatedintermsoftheprobabilityofdefaultbyusingsurvivalanalysistechniques.Withtheseobjectivethreedifferentmechanismsareproposedbasedonthekeyideaofwritingthedefaultprobabilityintermsoftheconditionald
3、istributionfunctionofthetimetodefault.ThefirstmethodisbasedonaCox’sregressionmodel,thesecondapproachusesgeneralizedlinearmodelsundercensoringandthethirdoneisbasedonnonparametrickernelestimation,usingtheproduct-limitconditionaldistributionfunctionestimatorbyBearn.Theresultingnonparam
4、etricestimatorofthedefaultprobabilityisprovedtobeconsistentandasymptoticallynormal.Anempiricalstudy,basedonmodifiedrealdata,illustratesthethreemethods.2.IntroductionDeterminingtheprobabilityofdefault,PD,inconsumercredits,loansandcreditcardsisoneofthemainproblemstobeaddressedbybanks,
5、savingsbanks,savingscooperativesandothercreditcompanies.Thisisafirststepneededtocomputethecapitalinriskofinsolvency,whentheirclientsdonotpaytheircredits,whichiscalleddefault.Theriskcomingfromthistypeofsituationiscalledcreditrisk,whichhasbeentheobjectofresearchsincethemiddleoflastcen
6、tury.Theimportanceofcreditrisk,aspartoffinancialriskanalysis,comesfromtheNewBaselCapitalAccord(BaselII),publishedin1999andrevisedin2004bytheBaselCommitteeforBankingSupervision(BCBS).Thisaccordconsistsofthreeparts,calledpillars.Theyconstituteauniversaltheoreticalframeworkfortheproced
7、urestobefollowedbycreditcompaniesinordertoguaranteeminimalcapitalrequirements,calledstatisticalprovisionsforinsolvency(SPI).PillarIofthenewaccordestablishestheparametersthatplaysomeroleinthecreditriskofafinancialcompany.Thesearetheprobabilityofdefault,PD,theexpositionafterdefault,EA
8、D,andthelossgivende
