Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 22, 2023 erstellt
Beschreibung:
Banks calculating capital requirements for credit risk based on internal ratings according to the Basel framework must add a margin of conservatism to their estimates of probability of default (PD). This margin shall, at a minimum, cover the statistical uncertainty related to the estimation. A wide range of methods and assumptions are regularly used to quantify this uncertainty and these methods and assumptions are frequently challenged and criticized by supervisory authorities. In this article we show why one should distinguish between two different types of statistical uncertainty in PD estimation and between two different approaches to quantify them. We derive formulas for both types and approaches from the credit-portfoliomodel assumptions which underlie the Basel risk weight formulas. By a numerical evaluation and simulation we find that, depending on the portfolio and availability of historical data, both types can yield sizeable contributions to the overall uncertainty of a PD estimate. Consequently we discuss the impact of these findings on capital requirements