Buch, Deutsch, 242 Seiten, broschiert, Format (B × H): 169 mm x 241 mm, Gewicht: 482 g
Estimation of the Probability of Default based on Advanced Pattern Classification Methods
Buch, Deutsch, 242 Seiten, broschiert, Format (B × H): 169 mm x 241 mm, Gewicht: 482 g
ISBN: 978-3-8288-3033-2
Verlag: Tectum Verlag
This work opens the statistical toolbox used in credit rating and in the validation of its results. After embedding the research field into its institutional and historical context, it presents standard and new techniques necessary to adequately understand the statistical approach in credit rating. It then introduces a new method for the validation of the central output parameter of the rating model, the Probability of Default. To illustrate the practical application, the theoretical considerations are accompanied by an extensive empirical study. The methods presented and developed in this book are easily applicable. Banks and regulators can statistically test the consistency of a rating methodology regarding discriminatory power and calibration quality.