The transformation of credit scores into probabilities of default plays an important role in credit risk estimation. The linear logistic regression has developed into a standard calibration approach in the banking sector. With the advent of machine learning techniques in the discriminatory phase...

The transformation of credit scores into probabilities of default plays an important role in credit risk estimation. The linear logistic regression has developed into a standard calibration approach in the banking sector. With the advent of machine learning techniques in the discriminatory phase...

The European banking regulation does neither specify a methodology nor a level of confidence for the purpose of quantifying the margin of conservatism for the general estimation error (MoC C) of risk parameter estimates. In order to fill this gap, Casellina et al. (2023) determine the MoC C of...