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An Empirical Comparison of Default Risk Forecasts from Alternative Credit Rating Philosophies

Rösch, Daniel



Abstract

The New Basel Capital Accord will allow the determination of banks' regulatory capital requirements due to probabilities of default (PDs) which are estimated and forecasted from internal ratings. Broadly, two rating philosophies are distinguished: through the cycle versus point in time ratings. We employ a likelihood ratio backtesting of both types with respect to their probability of default ...

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