Kalibrierung interner Ratingsysteme bei korrelierten Ausfallereignissen In dieser Arbeit
vergleichen wir vier verschiedene Testverfahren für die Qualität der Kalibrierung interner …

Measuring the creditworthiness of obligors is of preeminent importance to financial
institutions. Typically such an assessment is referred to as credit rating and is employed in …

Quantitative rating systems are increasingly being used for the purposes of capital allocation
and pricing credits. For these purposes, it is important to validate the accuracy of the …

Often internal rating systems do not fully satisfy standard calibration tests used for PD
validation. According to the document “Studies on validation of internal rating systems” …

A credit rating system in which the number of observed defaults aligns well with the number
of defaults expected by the system demonstrates good calibration. The author derives new …

We suggest a new parametric framework to assess the accuracy of estimated default
probabilities (PDs). Whereas the traditional methods to validate credit rating systems focus …

This study investigates new proposals of statistical tests for validating the PDs (probabilities
of default) of credit rating models (CRMs). The proposed tests recognize the existence of …

Following a consultation process that lasted several years, the Basel Committee on Banking
Supervision (BCBS) published the revised framework “International Convergence of Capital …

Measuring Ratings Accuracy Using the Average Default Position by Christopher Mann ::
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Surveys on the use of agency credit ratings reveal that some investors believe that rating
agencies are relatively slow in adjusting their ratings. A well-accepted explanation for this …