A Note on the Vasicek’s Model with the Logistic Distribution

The paper argues that it would be natural to replace the standard normal distribution function by the logistic function in the regulatory Basel II (Vasicek's) formula. Such a model would be in fact consistent with the standard logistic regression PD modeling approach. An empirical study based on US commercial bank's loan historical delinquency rates re-estimates the default correlations and unexpected losses for the normal and logistic distribution models. The results indicate that the capital requirements could be up to 90-100% higher if the normal Vasicek's model was replaced by the logistic one

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Year of publication:	2012
Authors:	Witzany, Jiri
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Statistische Verteilung \| Statistical distribution \| Schätzung \| Estimation \| Kreditrisiko \| Credit risk \| Basler Akkord \| Basel Accord \| Theorie \| Theory

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