Issue of Calibration in the Default Recognition

• Authors: Schab I.
• Languages of publication: EN

Abstracts

EN

In the paper the issue of PD (probability of default) rating model calibration and of its presentation in the general context of economic model calibration is discussed. The rating model in the credit risk area is defined and two approaches for its calibration to a masterscale are presented and applied for empirical data. The first approach uses the reversed regression method while the second is based on reversing the estimated link function. Two possible link functions reported by the literature are used and discussed..

Keywords

EN

PROBABILITY OF DEFAULT; RATING MODELS; REVERSED REGRESSION

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Warsaw School of Economics, Collegium of Economic Analysis
• Journal: Roczniki Kolegium Analiz Ekonomicznych
• Year: 2007
• Volume: 17
• Pages: 297-314
• Document type: ARTICLE

Contributors

author

Schab I.

• I. Schab, Szkola Glówna Handlowa w Warszawie, Kolegium Analiz Ekonomicznych, Zaklad Statystyki Stosowanej, al. Niepodleglosci 162, 02-554 Warszawa, Poland

Identifiers

CEJSH db identifier

08PLAAAA04288356