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A Novel Method for Banks to Monitor the Cumulative Loss Due to Defaults.pdf
JournalofMathematicsandSystemScience4(2014)248—249
aLlSH lN 喵
A NovelMethodforBankstoMonitortheCumulative
LossDustoDefauIts
KSSlyer
Abh~fitChirputkar,YatinJogandViiayalakshmi．SymbiosisInstituteofTelecomManagement,SymbiosisInternationalUniversity
Pune．Ind／a
Received：September19，2013／Accepted：November3，2013／Published：April25，2014
Abstract：Bankinginstitutionsal1overtheworldfacesignificantchallengeduetothecumulativelOSSduetodefaultsofborrowersof
difrerenttypesof1oans．Thecumulativedefaultlossbuiltupoveraperiodoftimecouldwipeoutthecapita1cushionofthebanksThe
aim ofthispaperistohelpthebankstoforecastthecumulativelOSSanditsvolatility．Defaultingamountsarerandomanddefaultsoccur
atrandom instantsoftime．A nonM arkoviantimedependentrandom pointprocessisusedtomodelthecumulativelOSS．Theexpected
lossandvolatilityareevaluatedanalytically．Theyarefunctionsofprobabilityofdefault，probabilityoflossamount，recoveryrateand
time．ProbabilityofdefaultbeingtheimportantcontributorisevaluatedusingHiddenMarkovmodeling．Numerica1resultsobtained
validatethemode1
Keywords：Random pointprocess，expectedcumulativeloss，nonMarkovian，hiddenMarkovmodel
1．Introduction random instantsoftimeandbuiltupoveraperiodof
timecouldaffecttheincomeofbank sandcouldreduce
Formostofthebanks．1oansarethelargestandthe
thecapitalcushion．Thoughlargenumberofresearch
mostobvioussourceofcreditrisk．Thebanksshould
publications dealing with default emphasize on
ensureadequatecapitalavailableagainstthisrisk．The
Markovian approach，authorslikeNickell，Peraudin
highertheriskmorechancesofdefaultandresultant
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