Braun, Daniel; Allgeier, Burkhard; Cremers, Heinz - 2011
possibility to determine their credit risk by an internal rating system. It is current practice to make use of quantitative … methods to develop the sys-tem. This paper will focus on rating systems calibrated using the discriminant analysis and the … first step, the borrowers are divided into rating classes. In the second step, a default probability is determined for each …