Güttler, André; Liedtke, Helge G. - In: Credit and Capital Markets 40 (2007) 4, pp. 527-551
We compare four different test approaches for the calibration quality of internal rating systems in the case of dependent default events. Two of them are approxi¬mation approaches and two are simulation approaches of one- and multi-factor models. We find that multi-factor models generate more...