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Probability-of-default curve calibration and validation of internal rating systems

In: Statistical implications of the new financial landscape

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  • Natalia Nehrebecka

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  • Natalia Nehrebecka, 2017. "Probability-of-default curve calibration and validation of internal rating systems," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Statistical implications of the new financial landscape, volume 43, Bank for International Settlements.
    • Handle: RePEc:bis:bisifc:43-35
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    References listed on IDEAS

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    1. Edmister, Robert O., 1972. "An Empirical Test of Financial Ratio Analysis for Small Business Failure Prediction," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(2), pages 1477-1493, March.
    2. Natalia Nehrebecka, 2016. "Approach to the assessment of credit risk for non-financial corporations. Evidence from Poland," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Combining micro and macro data for financial stability analysis, volume 41, Bank for International Settlements.
    3. André Güttler & Helge G. Liedtke, 2007. "Calibration of Internal Rating Systems: The Case of Dependent Default Events," Credit and Capital Markets, Credit and Capital Markets, vol. 40(4), pages 527-551.
    4. Beaver, Wh, 1966. "Financial Ratios As Predictors Of Failure," Journal of Accounting Research, Wiley Blackwell, vol. 4, pages 71-111.
    5. Aickin, M. & Gensler, H., 1996. "Adjusting for multiple testing when reporting research results: The Bonferroni vs Holm methods," American Journal of Public Health, American Public Health Association, vol. 86(5), pages 726-728.
    6. Dirk Tasche, 2003. "A traffic lights approach to PD validation," Papers cond-mat/0305038, arXiv.org.
    7. Blochlinger, Andreas & Leippold, Markus, 2006. "Economic benefit of powerful credit scoring," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 851-873, March.
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