probability of default

probability of default
банк. !
probability of default (PD)
Русский аналог: вероятность дефолта
В рамках рекомендованного Базельским комитетом по банковскому надзору подхода на основе внутренних рейтингов (IRB) - один из основных компонентов риска.
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См. также: internal ratings-based approach (IRB); risk components
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http:www.basel-ii-risk.com/Basel-II/Basel-II-Glossary/Basel-Probability-of-Default-(PD).htm
Definition of Probability of Default
The Probability of Default is the likelihood that a loan will not be repayed and fall into default. This PD will be calculated for each company who have a loan. The credit history of the counterparty and nature of the investment will all be taken into account to calculate the PD figures. Many banks will use external ratings agencies such as Standard and Poors. However, banks are also encouraged to use their own Internal Rating Methods as well.
How to calculate the Probability of Default
The following step will commonly be used
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o Analyse the credit risk aspects of the counterparty;
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o Map the counterparty to an internal risk grade which has an associated PD: and
o Determine the facility specific PD. This last step will gives a weighted Probability of Default for facilities that are subject to a guarantee or protected by a credit derivative. The weighting takes account of the PD of the guarantor or seller of the credit derivative.
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• Probability of Default (PD) for the ""Other"" segment: is derived from a credit scoring process for a new customer and behavioral scoring for existing business. The resulting PD is mapped to an internal risk grade.
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(PD) of an Obligor can be derived from an Internal Rating model that is used and maintained within the business area responsible for the counterparty relationship. For the purposes of the Accord there will be one PD associated with each risk grade representing the probability of Default within a 1 year time period.

Англо-русский экономический словарь.

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Смотреть что такое "probability of default" в других словарях:

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