Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83427
Authors: 
Witzany, Jiří
Year of Publication: 
2013
Series/Report no.: 
IES Working Paper 1/2013
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.
Subjects: 
credit risk
Basel II regulation
default rates
JEL: 
G20
G28
C51
Document Type: 
Working Paper
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