Málstofa verður haldin miðvikudaginn 16. Júní kl. 15:00 í fundarsal Seðlabankans, Sölvhóli.
Frummælandi er David Tysk, frá fjármálasviði Seðlabankans. Erindi hans, sem flutt verður á ensku ber heitið „Corporate Probability of Default (PD) model for Iceland.“
Ágrip: This seminar presents the Central Bank of Iceland‘s corporate Probability of Default (PD) model. The first results of the model were published in the 2010 Financial Stability report, box 2.2. Further results, applications and details will be presented here.
A corporation’s probability of default (PD) is the likelihood that the corporation will not be able to meet its obligations (default) and will thereby cause a credit loss for a bank. PD is also one of the most important parameters used to calculate regulatory capital requirements under the Basel II framework’s internal rating-based (IRB) approach.
The model is estimated on Icelandic data using a micro-macro approach and is to be used by the Central Bank of Iceland for financial stability analysis, e.g. forecasting and stress-testing defaults and credit losses.
David Tysk has a MS in Applied mathematics from the Royal Institute of Technology in Stockholm and has a BS in Business Administration and Economics from the University of Stockholm.
Before joining the Central Bank of Iceland’s Financial Stability department he headed the department responsible for the IRB compliant rating system at Nordea – the largest financial institution in the Nordic area. Earlier he has also worked at the Research department at Sveriges Riksbank.