Assessing bank's default probability using the ASRF model

Petar Radkov and Leda Minkova

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper it is shown how a Vasicek-model approach and the assumptions in Basel 2 regulatory framework can be used to develop measures of the probability of banks' failure. The Basel 2 framework is based on a Vasicek-model approach. The estimation of the propose measure of bank probability of default could be made over the capital ratio from supervisory authorities (non-public information) or over the capital ratio from balance sheet data (public available information).

Keywords: Vasicek model; ASRF model; Basel 2; banks' probability of default (search for similar items in EconPapers)
JEL-codes: C15 C16 C26 G17 G21 G28 (search for similar items in EconPapers)
Date: 2011-06-25
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