Rating transition matrixes are commonly used for computing expected credit losses under
International Financial Reporting Standard 9 (IFRS 9) and for stress testing under the …

Rating transition models ([8],[13]) have been widely used for multi-period scenario loss
projection for CCAR stress testing and IFRS 9 expected credit loss estimation. Though the …

Common ordinal models, including the ordered logit model and the continuation ratio model,
are formulated by a common score (ie, a linear combination of given explanatory variables) …

Risk management is an important practice in the banking industry. In this paper we develop
a new methodology to estimate and predict the probability of default (PD) based on the …

Based on a simple behavioral model that quantifies the structural relationships in historical
default frequencies and transition rates for different ratings, 1 this technique leads analysts …

In recent years considerable progress has been observed in the development of credit risk
models. The Revised Framework on International Convergence of Capital Measurement …

Banks around the globe are implementing International Financial Reporting Standard 9
(IFRS 9), which is a considerable effort. A key element of IFRS 9 is a forward-looking …

This study presents an alternative method of estimating credit quality transition matrices
using a hazard function model. The model is useful both for testing the validity of the …

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

Abstract In Chaps. 1–3 estimation methods for 1-year default probabilities have been
presented. In many risk management applications a 1-year default probability is not …