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 …
Median AR
Figure 4. Left panel: the AR for different radial basis coefficients r. Capacity is fixed
at c = 10. Right panel … functional
form.
The conversion procedure consists of the estimation of PDs for the observa-
tions of the training set with a …
