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Banks using either the Foundation or Advanced option of the Internal Ratings Based approach to credit risk under Basel II must estimate long-run annual average default probabilities for buckets of homogeneous assets. The one-factor model underlying the capital calculations in Basel II has...
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constructed and its evolution over time is shown. This indicator aids the estimation of the risks of this sector going forward and …
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, at different time distance to default. Finally, probit and logit estimation of default probabilities, testing for the …
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