Härdle, Wolfgang; Moro, Rouslan A.; Schäfer, Dorothea - 2007
quantitative models on the PD
estimation and, therefore, on capital requirements.
When following the DA, logit or probit approach …-
bank condenses the balance sheet information for each firm into 33 financial
predictors. We apply the Bundesbank ratios for … functional
form.
The conversion procedure consists of the estimation of PDs for the observa-
tions of the training set with a …