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Backtesting the PD model for the financial lease and hire purchase portfolio of Volkswagen Bank GmbH branch NL

Hoeksema, H.G. (2010) Backtesting the PD model for the financial lease and hire purchase portfolio of Volkswagen Bank GmbH branch NL.

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Abstract:Probability of default model A research has been carried out for Volkswagen Bank NL. The main purpose of the report is to back-test the currently used probability of default model (PD model), which estimates the chance of default. A contract is in default when the banks considers that the obligor is unlikely to pay off his debts, or is over ninety days in arrears. A default can occur in the lease portfolio. The portfolio is either that of financial lease contracts for business clients or hire purchase contracts for private clients. Backtesting The main focus of this report lies on the backtest of the PD model. In addition, the model is calibrated and its backtest procedure is standardized, in order to simplify future testing. The purpose of back-testing is to verify whether the model accurately estimates the PD – which is in essence a logistic re-gression formula [1]. The PD is based on the variables of a contract, its weight (β) and value (x).
Item Type:Essay (Bachelor)
Clients:
Volkwagen Pon Financial Services
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:85 business administration, organizational science
Programme:Industrial Engineering and Management BSc (56994)
Link to this item:http://purl.utwente.nl/essays/60800
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