Mathematics | |
Credit Risk Theoretical Model on the Base of DCC-GARCH in Time-Varying Parameters Framework | |
Aleksander Sorokin1  Nikita Moiseev1  Natalya Zvezdina2  Alexey Mikhaylov3  Lyubov Khomyakova4  Mir Sayed Shah Danish5  | |
[1] Department of Mathematical Methods in Economics, Plekhanov Russian University of Economics, 117997 Moscow, Russia;Department of Statistics and Data Analysis, Faculty of Economic Sciences, National Research University Higher School of Economics, 101000 Moscow, Russia;Financial Research Institute of Ministry of Finance of the Russian Federation, 127006 Moscow, Russia;Institute for Research of International Economic Relations, Financial University under the Government of Russian Federation, 124167 Moscow, Russia;Strategic Research Projects Center, University of the Ryukyus, Nishihara, Okinawa 903-0213, Japan; | |
关键词: default probability; scoring model; logistic regression; time-varying parameters; time series forecasting; ARIMA; | |
DOI : 10.3390/math9192423 | |
来源: DOAJ |
【 摘 要 】
The research paper is devoted to developing a mathematical approach for dealing with time-varying parameters in rolling window logit models for credit risk assessment. Forecasting coefficients yields a better model accuracy than a trivial approach of using computed past statistics parameters for the next time period. In this paper, a new method of dealing with time-varying parameters of scoring models is proposed, which is aimed at computing the default probability of a borrower. It was empirically shown that in a continuously changing economic environment factors’ influence on a target variable is also changing. Therefore, forecasting coefficients yields a better financial result than simply applying parameters obtained by accumulated statistics over past time periods. The paper develops a new theoretical approach, incorporating a combination of the ARIMA class model, the DCC-GARCH model and the state–space model, which is more accurate, than using only the ARIMA model. Rigorous simulation testing is provided to confirm the efficiency of the proposed method.
【 授权许可】
Unknown