Question
Using the charge-off data from the Fed, estimate the analogous PDs for credit cards and for commercial real estate loans over the prior 20 quarters.
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Using the charge-off data from the Fed, estimate the analogous PDs for credit cards and for commercial real estate loans over the prior 20 quarters. Does it seem fair that under the Standardized Approach commercial real estate mortgages and credit cards are both Category 4 assets? Z
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Now estimate the PDs for credit cards, commercial real estate, and C&I loans using only the eight quarters in 2009 and 2010. How do default rates compare across these asset classes in 2009-2010 and also with the prior 20 quarters?
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What is systematic credit risk? Does the Standardized Approach account for systematic credit risk? How might the regulatory treatment of systematic credit risk influence banks risk-taking incentives?
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Cases in Finance
Authors: Jim DeMello
3rd edition
1259330476, 1259330478, 9781259352652 , 978-1259330476
