kockázatkalibrálás

kockázatkalibrálás refers to the systematic adjustment of risk estimates to better reflect observed outcomes. In banking and insurance, it is used to align probability‑of‑default or loss‑given‑default models with historical experience. The process typically involves statistical tests such as the Hosmer‑Lemeshow test, which compares predicted event frequencies with actual frequencies across deciles of risk, and calibration plots that display predicted versus observed default rates. When a model shows poor calibration, adjustments are made—often by reweighting or recalibrating parameters—so that risk scores become more accurate.

The concept emerged alongside the development of credit scoring and rating systems in the 1980s and has become central to regulatory frameworks. Basel III and subsequent Basel IV guidelines require banks to maintain well‑calibrated internal rating systems (IRB) to ensure that capital charges correspond to true risk levels. In the European insurance domain, the European Insurance and Occupational Pensions Authority (EIOPA) likewise mandates risk‑calibrated models for Solvency II compliance, emphasizing backtesting and stress testing as part of the calibration cycle.

Practical implementation varies: financial institutions may build separate calibration models or apply margin adjustments to base models; insurers might use cohort‑based calibration to account for policyholder behaviour. The objective is consistent, transparent risk measurement that supports sound capital allocation, risk‑aware pricing, and regulatory reporting, thereby enhancing the stability of the financial system.