Vasicek model is a popular model that's used to measure Credit Risk as part of the Internal Ratings Based (IRB) approach. The model is proposed by banking regulators and also used by banks to measure the economic capital as well.
Пікірлер: 23
@natashabastien678 Жыл бұрын
I don't often comment on KZbin, but I really appreciate your ability to teach those concepts event to non-finance majors. Thanks.
@wailelhag98563 жыл бұрын
Thanks for the video. very well put and clearly explained and simplified. Regards
@geminipatel28754 жыл бұрын
Very clearly explained
@MuhammadAamir-kr6tv3 жыл бұрын
Nice explanation. Great work.
@darshitpatel79034 жыл бұрын
very well explained thanks !
@elenabodna5719 Жыл бұрын
Very nice! Thanks.
@vimalrajsep3 жыл бұрын
Shouldn't the - in the formula be replaced by + when we use N-1(.999)
@andreapasqualucci216710 ай бұрын
Brilliant
@HiPh0Plover13 жыл бұрын
what do you think of the model in terms of results to the goal which is to reduce the risk of financial crisis caused by banks ? the model assumptions are too strong so basically regulators consider all banks loans portfolios are the same which is def not the case
@frmexam3 жыл бұрын
It seems like the model was designed to make it practical to perform the computation. Imagine a bank that has 1 million loans, it will be quite difficult to introduce individual correlations and probability of defaults and also they will change time to time. Another point to note is that when there is an economic downturn most loans are strongly correlated and will also have the same default probability ( more or less).
@rjbriceno4 жыл бұрын
if you have a portfolio of loans then you need to apply the formula (WCDR-PD)*LGD*EAD loan by loan and then aggregate? sum((42%-1%)*LGDi*EADi))
@frmexam4 жыл бұрын
Hi Rodrigo - Yes, basically for each loan LGD x EAD will give you the amount you will lose if a default occurs. Also we will assume all loans have the same PD.
@anything4899 Жыл бұрын
how vasicek is used for ECL provision under IFRS 9 is there any difference in the way assumptions are taken
@saptashwachatterjee68753 жыл бұрын
Can you provide the link for Gaussian copula model video
@khaliq0654 жыл бұрын
Hi sir We want to perform the financial analysis on debts of the company What will be required data from company according to this model ?????
@accountingexperience7604 жыл бұрын
EAD - exposure at default ( basically your loan size to keep it simple) LGD- Loss given default - you can assume 100% of the loan will be lost if there was a default to keep things simple. PD - probability of default - this depends on the type of firm and the loan portfolio. Usually if you have some historical data then you can come up with a probability of default.
@sidsingh51684 жыл бұрын
Hi nice videos on credit risk, if as a beginner could you please tell me how to get entire credit risk videos means step by step process? please
@frmexam3 жыл бұрын
Ill upload some videos on introduction to Credit Risk and will write a detail post on working on a Credit Risk team shortly. will keep you posted.
@Saywhatohno3 жыл бұрын
Can we use this model for credit risk of a private company?
@asharma1775 Жыл бұрын
Sound system is bad . But content wise great video
@aminurrahmanchowdhury19642 жыл бұрын
Sound system is very poor.
@ieddinutube Жыл бұрын
there should be a mistake here, can not have 1% with 99.9 %. The first one should be N-1(0.1%)
@frmexam Жыл бұрын
The worst case default rate (WCDR) of 99.9% does not mean the PD is 0.1%. The PD (probability of default) can take any value. The economic factor F is linked to the WCDR.