We develop a PD model (PD – probability of default) for sub-sovereign entities, namely UK municipalities. Our methodology serves as an alternative for banks that use the standardised approach or scorecard-based models for assessing the probability of default for municipalities, local...

This paper provides practical insights into common statistical measures used to validate a model's discriminatory power for the probability of default (PD), loss liven default (LGD) and exposure at default (EAD). The study has more of an informative value without delivering empirical evidence....