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 … functional
form.
The conversion procedure consists of the estimation of PDs for the observa-
tions of the training set with a … estimation of PDs for the companies of the training set. This
is done using standard smoothing techniques to preliminary evaluate …