| Author(s): |
RNDr. Jiří Witzany Ph.D.,
|
| Type: |
IES Working Papers |
| Year: |
2013 |
| Number: |
1 |
| ISSN / ISBN: |
|
| Published in: |
IES Working Papers 1/2013 |
| Publishing place: |
Prague |
| Keywords: |
credit risk, Basel II regulation, default rates |
| JEL codes: |
G20, G28, C51 |
| Suggested Citation: |
Witzany, J. (2013). “ A Note on the Vasicek’s Model with the Logistic Distribution” IES Working Paper 1/2013. IES FSV. Charles University. |
| Abstract: |
The paper argues that it would be natural to replace the standard normal distribution function by the logistic function in the regulatory Basel II (Vasicek’s) formula. Such a model would be in fact consistent with the standard logistic regression PD modeling approach. An empirical study based on US commercial bank’s loan historical delinquency rates re-estimates the default correlations and unexpected losses for the normal and logistic distribution models. The results indicate that the capital requirements could be up to 100% higher if the normal Vasicek’s model was replaced by the logistic one. |
| Downloadable: |
WP_2013_Witzany
|
