- Author
- Schab Iwona (Szkoła Główna Handlowa w Warszawie)
- Title
- Issue of Calibration in the Default Recognition
- Source
- Roczniki Kolegium Analiz Ekonomicznych / Szkoła Główna Handlowa, 2007, nr 17, s. 297-314, tab., bibliogr. 17 poz.
- Issue title
- Discovering patterns in economic data
- Keyword
- Ryzyko kredytowe, Badania empiryczne
Credit risk, Empirical researches - Note
- summ.
- Abstract
- The aim of the paper is to discuss the issue of PD (probability of default) rating model calibration and present it in the general context of economic model calibration. 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. (original abstract)
- Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics - Bibliography
-
- P.D. Allison, Logistic Regression Using the SAS System: Theory and Application, SAS Institute, 1999.
- P. Behr, A. Guetller, Interne und externe Ratings. Bedeutung, Entwicklung, Testverfahren, Bankakademie-Verlag, Berlin 2004.
- C. Bluhm, L. Overbeck, C. Wagner, An Introduction to Credit Risk Modeling, Chapman&Hall/CRC, London 2003.
- G. Castermans, D. Martens, T. Van Gastel, B. Hamers, B. Basens "An Overview and Framework for PD Backtesting and Benchmarking", Proceedings from the Conference Credit Scoring & Credit Control, University of Edinburgh, 29-31 August 2007.
- Ch. Dawkins, T.N. Srinivasan, J. Whalley, Calibration, in: Handbook of Econometrics, J.J. Heckman, E. Learner, Elsevier Science 2001.
- B. Engelmann, R. Rauchmeier, The Basel IIRisk Parameters, Springer Verlag, Berlin 2006.
- "Finn Kydland and Edward Prescott's Contribution to Dynamic Macroeconomics", The Royal Swedish Academy of Sciences.
- W. Jaworski, Rating ubezpieczeniowy, Wydawnictwo Akademii Ekonomicznej we Wroclawiu, Wroclaw, 2002.
- F.E, Kydland, E.C. Prescott, "Time to build and aggregate fluctuations", Econometrica No 50(6).
- F.E. Kydland,.E.C. Prescott, "The Computational Experiment: An Econometric TooF, Journal of Economic Perspectives, Vol. 10, No 1, 1996.
- R.E. Lucas, "Supply-side Economics: an Analytical Review", Oxford Economic Papers, New Series, Vol. 42, No. 2.
- "Moody's Historic Corporate Bond Default Frequencies'', www.moodys.com.
- Studies on the Validation of Internal Rating Systems, Basel Committee on Banking Supervision, Working Paper No. 14, 2005, www.bis.org/publ/bcbsl4.htm
- D. Tasche, Validation of Internal Rating Systems and PD Estimates, Deutsche Bundesbank Disscussion Papers, May 2006.
- L.C. Thomas, D.B. Edelman, J.N. Crook, Credit Scoring and Its Applications, Monographs on Mathematical Modeling and Computation, Society for Industrial and Applied mathematics, Philadelfia 2002.
- Update on work of the Accord Implementation Group related to validation under the Basel II Framework, Basel Committee on Banking Supervision, Basel 2005, www.bis.org/publ/bcbs_nl4.htm
- M.W. Watson, "Measures of Fit for Calibrated Models'", Journal of Political Economy, No 101(6), 1993, p. 1011. C.A. Sims, "Macroeconomics and Methodology", Journal of Economic Perspectives, No 10(1), 1996.
- Cited by
- ISSN
- 1232-4671
- Language
- eng
