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A1334
Topic: Title: A note on the Vasicek's model with the logistic distribution Authors:  Jiri Witzany - University of Economics in Prague (Czech Republic) [presenting]
Abstract: We argue 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 banks loan historical delinquency rates from the period 1985-2012 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.