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Evaluating internal credit rating systems depending on bank size
Frerichs, Hergen; Wahrenburg, Mark - 2003
Under a new Basel capital accord, bank regulators might use quantitative measures when evaluating the eligibility of internal credit rating systems for the internal ratings based approach. Based on data from Deutsche Bundesbank and using a simulation approach, we find that it is possible to...
Persistent link: https://www.econbiz.de/10005844534
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Evaluating internal credit rating systems depending on bank size
Frerichs, Hergen; Wahrenburg, Mark - 2003
Under a new Basel capital accord, bank regulators might use quantitative measures when evaluating the eligibility of internal credit rating systems for the internal ratings based approach. Based on data from Deutsche Bundesbank and using a simulation approach, we find that it is possible to...
Persistent link: https://www.econbiz.de/10010316304
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Evaluating credit risk models: A critique and a proposal
Frerichs, Hergen; Löffler, Gunter - Fachbereich Wirtschaftswissenschaft, Goethe … - 2001
Persistent link: https://www.econbiz.de/10005102194
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Evaluating internal credit rating systems depending on bank size
Frerichs, Hergen; Wahrenburg, Mark - Fachbereich Wirtschaftswissenschaft, Goethe … - 2003
Persistent link: https://www.econbiz.de/10005057051
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Evaluating credit risk models using loss density forecasts
Frerichs, Hergen; Löffler, Gunter - In: Innovations in risk management : seminal papers from …, (pp. 569-596). 2004
Persistent link: https://www.econbiz.de/10002600683
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Evaluating credit risk models
Frerichs, Hergen; Wahrenburg, Mark - In: Risk management : challenge and opportunity ; with 125 …, (pp. 219-238). 2005
Persistent link: https://www.econbiz.de/10002447639
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Evaluating credit risk models
Frerichs, Hergen - 2004
Persistent link: https://www.econbiz.de/10002455047
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Does pooling of financial statements and default data across specialized banks improve internal credit rating systems?
Frerichs, Hergen - In: Kredit und Kapital 38 (2005) 3, pp. 401-433
Persistent link: https://www.econbiz.de/10003162840
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Evaluating credit risk models : a critique and a proposal
Frerichs, Hergen; Löffler, Gunter - 2001 - Version: October 9, 2001
Persistent link: https://www.econbiz.de/10004704393
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Evaluating internal credit rating systems depending on bank size
Frerichs, Hergen; Wahrenburg, Mark - 2003
Persistent link: https://www.econbiz.de/10004734611