Calibration alternatives to logistic regression and their potential for transferring the dispersion of discriminatory power into uncertainties of probabilities of default
Year of publication: |
2022
|
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Authors: | Wosnitza, Jan Henrik |
Publisher: |
Frankfurt a. M. : Deutsche Bundesbank |
Subject: | Calibration | credit score | cumulative accuracy profile | logistic regression | margin of conservatism | probability of default |
Series: | Deutsche Bundesbank Discussion Paper ; 04/2022 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
ISBN: | 978-3-95729-870-6 |
Other identifiers: | 1794356207 [GVK] hdl:10419/251197 [Handle] RePEc:zbw:bubdps:042022 [RePEc] |
Classification: | G17 - Financial Forecasting ; G21 - Banks; Other Depository Institutions; Mortgages ; G33 - Bankruptcy; Liquidation |
Source: |
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Wosnitza, Jan Henrik, (2022)
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Wosnitza, Jan Henrik, (2023)
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