Härdle, Wolfgang; Moro, Rouslan A.; Schäfer, Dorothea - 2007
discuss the selection of variables and give a
comparison with more traditional approaches such as discriminant analysis and … quantitative models on the PD
estimation and, therefore, on capital requirements.
When following the DA, logit or probit approach … comparison purposes. Table
1 presents the summary statistics for each predictor.
We have selected a homogenous sample spanning …