scholarly journals Modeling Recoveries of US Leading Banks Based on Publicly Disclosed Data

Mathematics ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 188
Author(s):  
Pawel Siarka
Keyword(s):  
Recovery Rate ◽  
Credit Card ◽  
Factor Model ◽  
Critical Element ◽  
Federal Reserve Bank ◽  
Rate Analysis ◽  
Industry Standards ◽  
Risk Management Process ◽  
Credit Portfolio ◽  
Asset Correlation

The credit risk management process is a critical element that allows financial institutions to withstand economic downturns. Unlike the methods regarding the probability of default, which have been deeply addressed after the financial crisis in 2008, recovery rate models still need further development. As there are no industry standards, leading banks are modeling recovery rates using internal models developed with different assumptions. Therefore, the outcomes are often incomparable and may lead to confusion. The author presents the concept of a unified recovery rate analysis for US banks. He uses data derived from FR Y-9C reports disclosed by the Federal Reserve Bank of Chicago. Based on the historical recoveries and credit portfolio book values, the author examines the distribution function of recoveries. The research refers to a credit card portfolio and covers nine leading US banks. The author leveraged Vasicek’s one-factor model with the asset correlation parameter and implemented it for recovery rate analysis. This experiment revealed that the estimated latent correlation ranges from 0.2% to 1.5% within the examined portfolios. They are large enough to impact the recovery rate volatility and cannot be treated as negligible. It was shown that the presented method could be applied under US Comprehensive Capital Analysis and Review exercise.

scholarly journals Global Portfolio Credit Risk Management: The US Banks Post-Crisis Challenge

Mathematics ◽  
2021 ◽  
Vol 9 (5) ◽  
pp. 562
Author(s):  
Pawel Siarka
Keyword(s):  
Risk Management ◽  
Distribution Function ◽  
Credit Risk ◽  
Factor Model ◽  
Capital Requirements ◽  
Total Loss ◽  
Credit Risk Management ◽  
Loan Portfolios ◽  
Risk Management Process ◽  
Market Factors

This paper addresses the problem of modeling credit risk for multi-product and global loan portfolios. The authors presented an improved version of the Basel Committee’s one-factor model for capital requirements calculation. They examined whether latent market factors corresponding to distinct portfolios are always highly correlated within the global portfolio and how this correlation impacts total losses distribution function. Historical losses of top-tier banks (JPMorgan Chace, Bank of America, Citigroup, Wells Fargo, US Bancorp) were analyzed. Furthermore, the estimation of the correlations between latent market factors was conducted, and its impact on the total loss distribution function was assessed. The research was performed based on consolidated financial statements for holding companies - FR Y-9C reports provided by the Federal Reserve Bank of Chicago. To verify the improved model, the authors analyzed two distinct loan portfolios for each bank, i.e., credit cards and commercial and industrial loans. They showed that the correlation between latent market factors could be significantly lower than one and disregarding this conclusion may lead to overestimating total unexpected losses. Hence, capital requirements calculated according to the IRB (Internal Ratings Based Approach) formula as a sum of individual VaR999 estimates may be biased. According to this finding, the enhanced one-factor model seems to be more accurate while calculating unexpected total loss for global portfolios. The authors proved that the active credit risk management process aiming to lower market factors’ correlation results in less volatile total losses. Therefore, financial institutions could be more resistant to macroeconomic downturns.

scholarly journals Asset correlation, portfolio diversification and regulatory capital in the Basel Capital Accord

2011 ◽  
Vol 1 (3) ◽  
pp. 31-39 ◽  
Author(s):  
Sylvia Gottschalk
Keyword(s):  
Basel Ii ◽  
Capital Adequacy ◽  
Probability Of Default ◽  
Regulatory Capital ◽  
Kmv Model ◽  
High Quantiles ◽  
Portfolio Loss Distribution ◽  
Credit Portfolio ◽  
Portfolio Loss ◽  
Asset Correlation

In this paper, we analyze the properties of the KMV model of credit portfolio loss. This theoretical model constitutes the cornerstone of Basel II’s Internal Ratings Based(IRB) approach to regulatory capital. Our results show that this model tends to overestimate the probability of portfolio loss when the probability of default of a single firm and the firms’ asset correlations are low. On the contrary, probabilities of portfolio loss are underestimated when the probability of default of a single firm and asset correlations are high. Moreover, the relationship between asset correlation and probability of loan portfolio loss is only consistent at very high quantiles of the portfolio loss distribution. These are precisely those adopted by the Basel II Capital Accord for the calculations of capital adequacy provisions. So, although the counterintuitive properties of the KMV model do not extend to Basel II, they do restrict its generality as a model of credit portfolio loss.

Credit Card Processing

2007 ◽  
Vol 38 (11) ◽  
pp. 54
Author(s):  
JOSEPH S. EASTERN
Keyword(s):  
Credit Card

Psychometrical Properties of a French Version of the General Self-Efficacy Short Scale (ASKU)

2020 ◽  
Vol 79 (1) ◽  
pp. 15-25
Author(s):  
Jean Philippe Décieux ◽  
Philipp Emanuel Sischka ◽  
Anette Schumacher ◽  
Helmut Willems
Keyword(s):  
Self Efficacy ◽  
Factor Model ◽  
German Version ◽  
French Version ◽  
Context Variable ◽  
Confirmatory Factor ◽  
French Speaking ◽  
German Speaking ◽  
Valid Instrument ◽  
General Self Efficacy

Abstract. General self-efficacy is a central personality trait often evaluated in surveys as context variable. It can be interpreted as a personal coping resource reflecting individual belief in one’s overall competence to perform across a variety of situations. The German-language Allgemeine-Selbstwirksamkeit-Kurzskala (ASKU) is a reliable and valid instrument to assess this disposition in the German-speaking countries based on a three-item equation. This study develops a French version of the ASKU and tests this French version for measurement invariance compared to the original ASKU. A reliable and valid French instrument would make it easy to collect data in the French-speaking countries and allow comparisons between the French and German results. Data were collected on a sample of 1,716 adolescents. Confirmatory factor analysis resulted in a good fit for a single-factor model of the data (in total, French, and German version). Additionally, construct validity was assessed by elucidating intercorrelations between the ASKU and different factors that should theoretically be related to ASKU. Furthermore, we confirmed configural and metric as well as scalar invariance between the different language versions, meaning that all forms of statistical comparison between the developed French version and the original German version are allowed.

Exploring the Multidimensional Facets of Authoritarianism: Authoritarian Aggression and Social Dominance Orientation

2008 ◽  
Vol 67 (1) ◽  
pp. 51-60 ◽  
Author(s):  
Stefano Passini
Keyword(s):  
Social Dominance ◽  
Factor Model ◽  
Three Dimensional ◽  
Social Dominance Orientation ◽  
Model Fit ◽  
Regression Analyses ◽  
One Dimensional ◽  
Confirmatory Factor ◽  
The One ◽  
Better Than

The relation between authoritarianism and social dominance orientation was analyzed, with authoritarianism measured using a three-dimensional scale. The implicit multidimensional structure (authoritarian submission, conventionalism, authoritarian aggression) of Altemeyer’s (1981, 1988) conceptualization of authoritarianism is inconsistent with its one-dimensional methodological operationalization. The dimensionality of authoritarianism was investigated using confirmatory factor analysis in a sample of 713 university students. As hypothesized, the three-factor model fit the data significantly better than the one-factor model. Regression analyses revealed that only authoritarian aggression was related to social dominance orientation. That is, only intolerance of deviance was related to high social dominance, whereas submissiveness was not.

A Psychometric Study of the Quality Perception Questionnaire

2012 ◽  
Vol 71 (2) ◽  
pp. 101-106 ◽  
Author(s):  
Raffaele Cioffi† ◽  
Anna Coluccia ◽  
Fabio Ferretti ◽  
Francesca Lorini ◽  
Aristide Saggino ◽  
...  
Keyword(s):  
Structural Equation ◽  
Factor Model ◽  
Equation Modeling ◽  
Fit Indices ◽  
Quality Perception ◽  
Italian Survey ◽  
Confirmatory Factor ◽  
Instrument Measuring ◽  
Hospital Structures

The present paper reexamines the psychometric properties of the Quality Perception Questionnaire (QPQ), an Italian survey instrument measuring patients’ perceptions of the quality of a recent hospital admission experience, in a sample of 4400 patients (Mage = 56.42 years; SD = 19.71 years, 48.8% females). The 14-item survey measures four factors: satisfaction with medical doctors, nursing staff, auxiliary staff, and hospital structures. First, we tested two models using a confirmatory factor analysis (structural equation modeling): a four orthogonal factor and a four oblique factor model. The SEM fit indices and the χ² difference suggested the acceptance of the second model. We then did a simulation using a bootstrap with 1000 replications. Results confirmed the four oblique factor solution. Third, we tested whether there were significant differences with respect to age or sex. The multivariate general linear model showed no significant differences in the factors with respect to sex or age.

Question Wording Effects in the Assessment of Global Self-Esteem

2000 ◽  
Vol 16 (1) ◽  
pp. 13-19 ◽  
Author(s):  
Martin Dunbar ◽  
Graeme Ford ◽  
Kate Hunt ◽  
Geoff Der
Keyword(s):  
Reading Ability ◽  
Factor Model ◽  
Self Esteem ◽  
Reading Scores ◽  
Poor Reading ◽  
Method Effect ◽  
Two Samples ◽  
Positive Item ◽  
Method Effects ◽  
Best Fit

Summary: Marsh (1996) produced evidence that method effects associated with negatively worded items might be responsible for the results of earlier factor analytic studies that reported finding positive and negative self-esteem factors in the Rosenberg Global self-esteem scale ( Rosenberg, 1965 ). He analyzed data collected from children using a 7-item self-esteem measure. This report details attempts to replicate Marsh 's analysis in data collected from two samples of adults who completed the full 10-item Global Self-Esteem (GSE) scale. The results reported here are similar to those given by Marsh in so much as a correlated uniquenesses model produced a superior fit to the data than the simple one factor model (without correlated uniquenesses) or the often reported two factor (positive and negative self-esteem) model. However, whilst Marsh reported that the best fit was produced by allowing negative item uniquenesses to correlate with each other, the model that produced the best fit to these data was one that contained correlated positive item uniquenesses. Supporting his claim that differential responding to negative and positive self-esteem items reflects a method effect associated with reading ability, Marsh also showed that factors associated with negative and positive items were most distinct among children who had poor reading scores. We report a similar effect among a sample of older adults where the correlation between these factors was compared across two groups who were selected according to their scores on a test of verbal reasoning.

Social Desirability in Personality Inventories

2014 ◽  
Vol 35 (3) ◽  
pp. 144-157 ◽  
Author(s):  
Martin Bäckström ◽  
Fredrik Björklund
Keyword(s):  
Social Desirability ◽  
Big Five ◽  
Work Performance ◽  
Factor Model ◽  
Five Factor Model ◽  
Peer Ratings ◽  
Personality Inventories ◽  
Model Study ◽  
The Difference ◽  
New Variables

The difference between evaluatively loaded and evaluatively neutralized five-factor inventory items was used to create new variables, one for each factor in the five-factor model. Study 1 showed that these variables can be represented in terms of a general evaluative factor which is related to social desirability measures and indicated that the factor may equally well be represented as separate from the Big Five as superordinate to them. Study 2 revealed an evaluative factor in self-ratings and peer ratings of the Big Five, but the evaluative factor in self-reports did not correlate with such a factor in ratings by peers. In Study 3 the evaluative factor contributed above the Big Five in predicting work performance, indicating a substance component. The results are discussed in relation to measurement issues and self-serving biases.

Validation of the Short Dark Triad in a German Sample

2020 ◽  
pp. 1-12
Author(s):  
Caroline Wehner ◽  
Ulrike Maaß ◽  
Marius Leckelt ◽  
Mitja D. Back ◽  
Matthias Ziegler
Keyword(s):  
Sensation Seeking ◽  
Factor Model ◽  
Structural Models ◽  
Self Esteem ◽  
Dark Triad ◽  
Fit Indices ◽  
Nomological Network ◽  
Competitive Test ◽  
Three Factor ◽  
Behavioral Criteria

Abstract. The structure, correlates, and assessment of the Dark Triad are widely discussed in several fields of psychology. Based on the German version of the Short Dark Triad (SDT), we add to this by (a) providing a competitive test of existing structural models, (b) testing the nomological network, and (c) proposing an ultrashort 9-item version of the SDT (uSDT). A sample of N = 969 participants provided data on the SDT and a range of further measures. Our competitive test of five structural models revealed that fit indices and nomological network assumptions were best met in a three-factor model, with separate factors for psychopathy, Machiavellianism, and narcissism. The results provided an extensive overview of the raw, unique, and shared associations of Dark Triad dimensions with narcissism facets, sadism, impulsivity, self-esteem, sensation seeking, the Big Five, maladaptive personality traits, sociosexual orientation, and behavioral criteria. Finally, the uSDT exhibited satisfactory psychometric properties. The highest overlap in expected relations between SDT and uSDT, and convergent and discriminant measures was also found for the three-factor model. Our study underlines the utility of a three-factor model of the Dark Triad, extends findings on its nomological network, and provides an ultrashort instrument.

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