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1、JournalofBanking&Finance24(2000)151±165www.elsevier.com/locate/econbaseEvaluatingcreditriskmodelsa,*b,1JoseA.Lopez,MarcR.SaidenbergaEconomicResearchDepartment,FederalReserveBankofSanFrancisco,101MarketStreet,SanFrancisco,CA94105-1579,USAbResearchandMarketAnalysisGroup,FederalReserveBankofNewYor
2、k,33LibertyStreet,NewYork,NY10045,USAAbstractOverthepastdecade,commercialbankshavedevotedmanyresourcestodevelopinginternalmodelstobetterquantifytheir®nancialrisksandassigneconomiccapital.Theseeortshavebeenrecognizedandencouragedbybankregulators.Recently,bankshaveextendedtheseeortsintothe®eldofc
3、reditriskmodeling.However,animportantquestionforbothbanksandtheirregulatorsisevaluatingtheaccuracyofamodelÕsforecastsofcreditlosses,especiallygiventhesmallnumberofavailableforecastsduetotheirtypicallylongplanninghorizons.Usingapaneldataapproach,weproposeevaluationmethodsforcreditriskmodelsbased
4、oncross-sectionalsimulation.Specif-ically,modelsareevaluatednotonlyontheirforecastsovertime,butalsoontheirforecastsatagivenpointintimeforsimulatedcreditportfolios.Oncetheforecastscorrespondingtotheseportfoliosaregenerated,theycanbeevaluatedusingvariousstatisticalmethods.Ó2000ElsevierScienceB.V.
5、Allrightsreserved.JELclassi®cation:G2;G28;C52Keywords:Creditriskmodels;Bankregulation;Forecastevaluation*Correspondingauthor.Tel.:+415-977-3894;fax:+415-974-2168.E-mailaddresses:jose.a.lopez@sf.frb.org(J.A.Lopez),marc.saidenberg@ny.frb.org(M.R.Saidenberg).1Tel.:+212-720-5968;fax:+212-720-8363.0
6、378-4266/00/$-seefrontmatterÓ2000ElsevierScienceB.V.Allrightsreserved.PII:S0378-4266(99)00055-2152J.A.Lopez,M.R.Saidenberg/JournalofBanking&Finance24(2000)151±1651.IntroductionOverthepastdecade,bankshavedevotedmanyresourcestodevelopinginternalriskmodelsforthepurposeofbetterquantifyingthe®nancia
7、lriskstheyfaceandassigningthenecessaryeconomiccapital.Theseeortshavebeenrecognizedandencouragedbybankregulators.Forexample,the1997MarketRiskAmendment(MRA)totheBaselCapitalAccordformallyincorporatesbanksÕinternal,marketriskmodelsin
