Estimating the probability of default for no-default and low-default portfolios

O Blümke - Journal of the Royal Statistical Society Series C …, 2020 - academic.oup.com
The paper proposes a sequential Bayesian updating approach to estimate default probabilities
on rating grade level for no- and low-default portfolios. Bayesian sequential updating …

A structural hidden Markov model for forecasting scenario probabilities for portfolio loan loss provisions

O Blümke - Knowledge-Based Systems, 2022 - Elsevier
Accounting standards require from financial institutions to consider and forecast multiple
macroeconomic scenarios when calculating loan loss provisions. Loan loss provisions protect a …

Testing the predictive power: A comparative study of current default probability validation tests

O Blümke - Expert Systems with Applications, 2022 - Elsevier
Credit ratings are expert systems which assess the likelihood of a borrower to default. The
Basel Accord allows banks to base regulatory capital requirements on the default probability …

Multiperiod default probability forecasting

O Blümke - Journal of Forecasting, 2022 - Wiley Online Library
Accounting standards require that financial institutions must measure default risk with
respect to the full maturity of a financial instrument. This requires forecasting of future default …

Estimating default probabilities for no-and low-default portfolios: parameter specification via floor constraints

O Blümke - Journal of the Royal Statistical Society Series C …, 2023 - academic.oup.com
For low- and no-default portfolios, financial institutions are confronted with the problem to
estimate default probabilities for credit ratings for which no default was observed. The …

On the cyclicality of default rates of banks: A comparative study of the asset correlation and diversification effects

O Blümke - Journal of Empirical Finance, 2018 - Elsevier
In credit portfolio modeling the asset correlation parameter is used to describe the degree of
default rates fluctuations. In this article we estimate the asset correlation parameter for …

Probability of default estimation and validation within the context of the credit cycle

O Blümke - The Journal of Risk Model Validation, 2010 - search.proquest.com
The dependency of the individual default behavior of a firm on the state of the credit cycle is
widely implemented in credit portfolio models and ultimately reflected in the Basel II one-…

Out-of-Time Validation of Default Probabilities within the Basel Accord: A comparative study

O Blümke - Available at SSRN 2945931, 2019 - papers.ssrn.com
The probability of a default determines capital requirements set by the Basel Accord. To
back-test default probabilities is therefore possibly the single most important task when …

A model-based approach to determine the number of scenarios and scenario probabilities for loan loss provision calculations under the accounting standards of IFRS …

O Blümke - Available at SSRN 3679940, 2020 - papers.ssrn.com
The accounting standards of the International Financial Reporting Standards (IFRS) and the
United States Generally Accepted Accounting Principles (US-GAAP) require from financial …

Probability of default validation: a single-year and a multiyear methodology for the Basel framework

O Blümke - The Journal of Risk Model Validation, 2012 - search.proquest.com
This paper proposes two methodologies that are designed to test whether observed default
rates are in line with default probabilities applied within the Basel framework. This is done by …