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Schab Iwona (Szkoła Główna Handlowa w Warszawie)
Issue of Calibration in the Default Recognition
Roczniki Kolegium Analiz Ekonomicznych / Szkoła Główna Handlowa, 2007, nr 17, s. 297-314, tab., bibliogr. 17 poz.
Issue title
Discovering patterns in economic data
Ryzyko kredytowe, Badania empiryczne
Credit risk, Empirical researches
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)
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