Coppens, François; Gonzáles, Fernando; Winkler, Gerhard - Nationale Bank van België/Banque national de Belqique (BNB) - 2007
Moody’s publicly available rating histories to construct confidence intervals for the level of probability of default to be … second aim is to review various existing validation models for the probability of default which enable the analyst to check … fixed probability of default (PD) value. Given the general characteristics of the problem considered, we consider this …