Showing 1 - 6 of 6
The validation of probability calibration is an inherently difficult task. We develop a testing procedure for credit-scoring models. The models comprise two components to check whether the ex-ante probabilities support the ex-post frequencies. The first component tests the level of the...
Persistent link: https://www.econbiz.de/10005858376
In this paper, we study the economic benets from using credit scoring models. We contribute to the literature by relating the discriminatory power of a credit scoring model to the optimal credit decision. Given the Receiver Operating Characteristic (ROC) curve of the credit scoring model, we...
Persistent link: https://www.econbiz.de/10005858876
Non-maturity deposits like savings accounts or demand deposits contain significant option risks caused by the bank’s discretionary pricing and the customers’ withdrawal right. Option risks follow from inherent non-linear factor exposures. I propose an ordinal response model for deposit rate...
Persistent link: https://www.econbiz.de/10011118111
A credit rating system in which the number of observed defaults aligns well with the number of defaults expected by the system demonstrates good calibration. I derive new goodness-of-fit statistics to test the calibration hypothesis over several observation periods and I therefore solve the...
Persistent link: https://www.econbiz.de/10012906160
Non-maturity deposits like savings accounts or demand deposits contain significant option risks caused by the bank's discretionary pricing and the customers' withdrawal right. Option risks follow from inherent non-linear factor exposures. I propose an ordinal response model for deposit rate...
Persistent link: https://www.econbiz.de/10012940619
I present an analytical valuation framework for the management of fixed-income instruments traded in imperfectly competitive markets, like demand deposits and credit card loans in the banking book, inter alia, to stabilize the abnormal profit margin. Banking book instruments contain embedded...
Persistent link: https://www.econbiz.de/10012849095