Credit Risk Theoretical Model on the Base of DCC-GARCH in Time-Varying Parameters Framework
Abstract
:1. Introduction
2. Literature Review
3. Materials and Methods
4. Empirical Reasoning for the Method
5. Simulation Experiment
6. Conclusions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Conflicts of Interest
References
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Subsample Number | Time Range | Closed Credit Sum | Number of Payments to Loan Term Ratio | |||
---|---|---|---|---|---|---|
From | To | Coef | p-Value | Coef | p-Value | |
1 | 12.01.2015 | 29.06.2015 | −0.767 | 0.039 | −0.147 | 0.718 |
2 | 01.07.2015 | 30.12.2015 | −0.449 | 0.061 | −0.432 | 0.126 |
3 | 11.01.2016 | 30.06.2016 | −0.200 | 0.479 | −0.375 | 0.225 |
4 | 01.07.2016 | 31.12.2016 | −0.569 | 0.002 | −0.505 | 0.011 |
5 | 01.01.2017 | 30.06.2017 | −0.522 | 0.003 | −0.403 | 0.038 |
6 | 01.07.2017 | 31.12.2017 | −0.729 | 0.000 | −0.521 | 0.001 |
7 | 01.01.2018 | 30.06.2018 | −0.687 | 0.000 | −0.462 | 0.000 |
8 | 01.07.2018 | 31.12.2018 | −0.427 | 0.000 | −0.386 | 0.000 |
9 | 01.01.2019 | 30.06.2019 | −0.306 | 0.000 | −0.304 | 0.000 |
10 | 01.07.2019 | 31.12.2019 | −0.254 | 0.000 | −0.188 | 0.000 |
Method | Profit Received | Number of Issued Loans | Number of Defaulted Loans | Percent of Defaulted Loans | Mean Squared Forecast Error | Mean Absolute Error |
---|---|---|---|---|---|---|
Generic logit | 19,414 | 301,291 | 9741 | 3.23% | 0.030 | 0.035 |
Random Forest | 19,627 | 301,232 | 9542 | 3.17% | 0.030 | 0.035 |
Gradient boosting | 19,735 | 301,168 | 9438 | 3.13% | 0.030 | 0.035 |
ARIMA | 24,537.6 | 300,904 | 5048 | 1.68% | 0.024 | 0.029 |
State space DCC-GARCH | 28,531.8 | 300,831 | 1405 | 0.47% | 0.016 | 0.021 |
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Moiseev, N.; Sorokin, A.; Zvezdina, N.; Mikhaylov, A.; Khomyakova, L.; Danish, M.S.S. Credit Risk Theoretical Model on the Base of DCC-GARCH in Time-Varying Parameters Framework. Mathematics 2021, 9, 2423. https://doi.org/10.3390/math9192423
Moiseev N, Sorokin A, Zvezdina N, Mikhaylov A, Khomyakova L, Danish MSS. Credit Risk Theoretical Model on the Base of DCC-GARCH in Time-Varying Parameters Framework. Mathematics. 2021; 9(19):2423. https://doi.org/10.3390/math9192423
Chicago/Turabian StyleMoiseev, Nikita, Aleksander Sorokin, Natalya Zvezdina, Alexey Mikhaylov, Lyubov Khomyakova, and Mir Sayed Shah Danish. 2021. "Credit Risk Theoretical Model on the Base of DCC-GARCH in Time-Varying Parameters Framework" Mathematics 9, no. 19: 2423. https://doi.org/10.3390/math9192423
APA StyleMoiseev, N., Sorokin, A., Zvezdina, N., Mikhaylov, A., Khomyakova, L., & Danish, M. S. S. (2021). Credit Risk Theoretical Model on the Base of DCC-GARCH in Time-Varying Parameters Framework. Mathematics, 9(19), 2423. https://doi.org/10.3390/math9192423