Validation of internal rating systems and PD estimates
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References listed on IDEAS
- Dirk Tasche, 2002. "Remarks on the monotonicity of default probabilities," Papers cond-mat/0207555, arXiv.org.
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- François Coppens & Fernando Gonzáles & Gerhard Winkler, 2007.
"The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations,"
Working Paper Research
118, National Bank of Belgium.
- François Coppens & Fernando González & Gerhard Winkler, 2007. "The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations," Occasional Paper Series 65, European Central Bank.
- R. John Irwin & Timothy C. Irwin, 2013.
"Appraising Credit Ratings: Does The Cap Fit Better Than The Roc?,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 18(4), pages 396-408, October.
- R. John Irwin & Timothy C Irwin, 2012. "Appraising Credit Ratings; Does the CAP Fit Better than the ROC?," IMF Working Papers 12/122, International Monetary Fund.
- Rungporn Roengpitya & Pratabjai Nilla-or, 2012. "Challenges on the Validation of PD Models for Low Default Portfolios (LDPs) and Regulatory Policy Implications," Working Papers 2012-02, Monetary Policy Group, Bank of Thailand.
- Divino, Jose Angelo & Rocha, Líneke Clementino Sleegers, 2013. "Probability of default in collateralized credit operations," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 276-292.
- Dirk Tasche, 2012. "Bounds for rating override rates," Papers 1203.2287, arXiv.org, revised Aug 2012.
- Cornaglia, Anna & Morone, Marco, 2009. "Rating philosophy and dynamic properties of internal rating systems: A general framework and an application to backtesting," MPRA Paper 14711, University Library of Munich, Germany.
- Rungporn Roengpitya, 2012. "Proposal of New Hybrid PD Estimation Models for the Low Default Portfolios (LDPs), Empirical Comparisons and Policy Implications," Working Papers 2012-03, Monetary Policy Group, Bank of Thailand.
- Morone, Marco & Cornaglia, Anna, 2010. "An econometric model to quantify benchmark downturn LGD on residential mortgages," MPRA Paper 25588, University Library of Munich, Germany.
- Raffaella Calabrese, 2011. "Cost-sensitive classification for rare events: an application to the credit rating model validation for SMEs," Working Papers 201134, Geary Institute, University College Dublin.
- Raffaella Calabrese, 2012. "Improving Classifier Performance Assessment of Credit Scoring Models," Working Papers 201204, Geary Institute, University College Dublin.
- Dirk Tasche, 2012. "The art of probability-of-default curve calibration," Papers 1212.3716, arXiv.org, revised Nov 2013.
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