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

Rösch, Daniel (2005) An Empirical Comparison of Default Risk Forecasts from Alternative Credit Rating Philosophies. International Journal of Forecasting 21 (1), pp. 37-51.

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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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Item type:Article
Date:2005
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Identification Number:
ValueType
10.1016/j.ijforecast.2004.04.001DOI
Keywords:Credit rating; Basel II; Backtesting; Risk management; Credit risk modeling
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:8225
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