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| Modèles de risque de crédit (Merton, KMV, CreditMetrics)× | Rétrovalidation de la Valeur à Risque (VaR)× | |
|---|---|---|
| Domaine | Finance | Finance |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1974 | 1998 |
| Auteur d'origine≠ | Robert C. Merton (structural model); J.P. Morgan / Gupton et al. (CreditMetrics) | Kupiec (1995); Christoffersen (1998); Engle & Manganelli (DQ test) |
| Type≠ | Structural and portfolio credit risk model | Statistical hypothesis tests on VaR violation sequences |
| Source fondatrice≠ | Merton, R. C. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance, 29(2), 449-470. DOI ↗ | Kupiec, P. H. (1995). Techniques for Verifying the Accuracy of Risk Measurement Models. The Journal of Derivatives, 3(2), 73-84. DOI ↗ |
| Alias | Merton model, KMV model, CreditMetrics, structural credit risk model | VaR backtest, Kupiec test, Christoffersen test, Dynamic Quantile test |
| Apparentées≠ | 5 | 3 |
| Résumé≠ | Credit risk models estimate the probability that a borrower defaults and the resulting distribution of credit losses. The structural approach was introduced by Robert C. Merton in 1974, treating a firm's equity as a call option on its assets, and was later extended into the KMV distance-to-default framework and the CreditMetrics rating-transition portfolio model published by J.P. Morgan in 1997. | VaR backtesting is a family of statistical tests that validate a risk model by comparing its Value-at-Risk forecasts against realised losses. It builds on Kupiec's (1995) unconditional coverage test, Christoffersen's (1998) conditional coverage test, and the Engle-Manganelli Dynamic Quantile (DQ) test. |
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