Special Seminar by Dr. Suttisak Wattanawongwan

Special Seminar by Dr. Suttisak Wattanawongwan, Lecturer, Department of Mathematics , Faculty of Science, Mahidol University.
Title: An Additive Copula Regression Model for Credit Card Balance and Probability of Default
Date: Wednesday, March 23, 2022 Time: 1.30 – 2.30 PM.
Online: WebEx Meeting Link: https://mahidol.webex.com/mahidol/j.php?MTID=m75e36a5ea3195e9d14266ab90847b0ef
Previous studies have shown that the Basel capital requirement can be underestimated by ignoring the dependencies between the Probability of Default (PD) and Exposure At Default (EAD).  In retail credit risk, however, none of the existing literature has directly modelled their account-level dependence.  To close this gap, we propose a joint model for PD and EAD, evaluating copulas under the bivariate Copula Generalised Additive Models for Location, Scale, and Shape framework.  Using a large dataset of credit card accounts, the analysis shows that our proposed model produces a more precise and conservative expected loss estimate compared to other models.