A point-in-time-through-the-cycle approach to rating assignment and probability of default calibration
Mark Rubtsov and Alexander Petrov
| Year of publication: |
June 2016
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|---|---|
| Authors: | Rubtsov, Mark ; Petrov, Alexander |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 10.2016, 2, p. 83-112
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| Subject: | probability of default | point-in-time and through-the-cycle rating philosophy | rating/scoring construction | PD model calibration | margin of conservatism | validation tests | IFRS 9 | Basel regulation | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Modellierung | Scientific modelling | IFRS | Kreditwürdigkeit | Credit rating | Wahrscheinlichkeitsrechnung | Probability theory | Statistischer Test | Statistical test | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011527482