Val Econ Cap Mdls Risk Conf Jacobs 1 10 V1
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Val Econ Cap Mdls Risk Conf Jacobs 1 10 V1
- 1. Validation of Economic Capital Models: State of the Practice, Supervisory Expectations and Results from a Bank Study Michael Jacobs, Ph.D., CFA Senior Economist / Credit Risk Analysis Division U.S. Office of the Comptroller of the Currency Risk Conference on Economic Capital, February 2010 The views expressed herein are those of the authos and do not necessarily represent the views of the Office of the Comptroller of the Currency or the Department of the Treasury.
- 23. Validation Example: Alternative Risk Aggregation Models – Risk Proxy Data Summary (Largest Banks As Of 4Q08)
- 24. Validation Example: Alternative Risk Aggregation Models – Distributions of Risk Proxies (Largest Banks As Of 4Q08)
- 25. Validation Example: Alternative Risk Aggregation Models – Correlations of Risk Proxies (Largest Banks As Of 4Q08) )
- 26. Validation Example: Alternative Risk Aggregation Models – Absolute EC Comparison (Largest Banks As of 4Q08)
- 27. Validation Example: Alternative Risk Aggregation Models – Absolute EC Comparison (Largest Banks As of 4Q08)
- 28. Validation Example: Alternative Risk Aggregation Models – Relative EC Comparison (Largest Banks As of 4Q08)
- 29. Validation Example: Alternative Risk Aggregation Models – % Diversification Comparison (Largest Banks As of 4Q08)
- 30. Validation Example: Alternative Risk Aggregation Models – Goodness of Fit Comparison (Largest Banks As of 4Q08)
- 31. Validation Example: Alternative Risk Aggregation Models – EC Variability Comparison (Largest Banks As of 4Q08)
- 32. Validation Example: Alternative Risk Aggregation Models – EC Variability Comparison (Largest Banks As of 4Q08)
Notas del editor
- VaR increas. in size Comp diff risk agg meth acr bnk obs VCA prod cons the lowest VaR & either the ECS or AGCS highest, foll by TCS cons., GCS “benchmark” & FC us. tow. mdl., CS tow. Low but above VCA. FG tends close GCS but us. just little lower,TCS just little higher GCS (some cases not by much). e.g., T200; GS 764B vs. EC 859B vs. GC 930B (larger) vs. VCA 688B smallest, CC 728B sm. Side & FC 752B toward middle
- NCVs for PDB > VaR: excl VCA & ECS 17-76% vs 7-12% ECS uniformly lowest 12.2-17.6% VCA much higher 83.4-158.2% Excl above: AGC notably higher stand. Cop’s: 44.1%-75.5% GC on low side 17.3-34.3% vs. TC sl higher 22.5-39.5% CC 22.7-30.0% close GC on lower end
- As % BVA VaR looks to be somewhat incr w/size – 6-8% AT200, lower-mid teens T45 & then mid-high teens PNC
- PDBs wide var. acr. bnk/mdlsbut cannot see diff by biz mix ECS yild very high values->risk updoubl to tripl if simpl add risks Exc ECS rng 10%-50 GCS tow middle (41-58%), VCA lower end (31-41%), GCAS lowest (10-21%).
- GOF tests highly mixed: rej null mdl fits data (rel to EC) just under 1/2 cases 14/30 & do not lend to clear pattern. But gen. rej. fit not very high sig lvl->perh mdls dec job: only 3 rej > 1% lvl (AGCS for AT200&JPMC, AGCS for JPMC), only 1 at 5% AFCS for AT200, rem 9 at only 10% AT200 most rej all cases (but 1&2 @ 10&5%), foll by JPMC (2 rej T&AG), CITI and WELLS (2 rej e. 10%), BofA&PNC the least (1 e. at 10%l).GCS maybe OK in that rej on AT200 @ 5%? Across bnks TCS&FCS rej 4X the most often (4/3 10%,FCS 1 @ 5%) AGC only 2 rej but only 2 @ 1% lvl & lowest PVs, CCS other 1% rej & 1 10% rej
- VCA much higher anything else: 27.8-45.3 GCS 7.1-9% slight< ECS 8.1-13.6% TC cl ECS 7.5-16.4% GC in betw 7.5-10.8% CC on low side 5.9-7.0% Hard to see biz mix patt (JPMC/CITI vs others)
- Marg btstrp ord mag gr: excl EC/VCA 6-14% in corr vs. 34-70% marg TC highest 43.6-62.2% GCS 35.4-44.8% GC close GC but more range 33.5-52.7% CC most range 25.2-69.6% Hard to see biz mix patt (JPMC/CITI vs others)
- NCVs for PDB much > VaR: excl VCA & ECS 17-76% vs 7-12% ECS uniformly lowest 12.2-17.6% VCA much higher 83.4-158.2% Excl above: TC highest 39.5-69.5 NOW GC high end 38.6-56.7% &. close AGC on high side 36.8-53.1% CC lowest 19.9-43.7%