Pitfalls and remedies in testing the calibration quality of rating systems
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- Wosnitza, Jan Henrik, 2022. "Calibration alternatives to logistic regression and their potential for transferring the dispersion of discriminatory power into uncertainties of probabilities of default," Discussion Papers 04/2022, Deutsche Bundesbank.
- António Antunes & Homero Gonçalves & Pedro Prego, 2017.
"Firm default probabilities revisited,"
IFC Bulletins chapters, in: Bank for International Settlements (ed.), Uses of central balance sheet data offices' information, volume 45,
Bank for International Settlements.
- António R. Antunes & Pedro Prego & Homero Gonçalves, 2016. "Firm default probabilities revisited," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
- Sauer, Stephan & Coppens, François & Mayer, Manuel & Millischer, Laurent & Resch, Florian & Schulze, Klaas, 2016. "Advances in multivariate back-testing for credit risk underestimation," Working Paper Series 1885, European Central Bank.
- Patrick Kurth & Max Nendel & Jan Streicher, 2024. "A Hypothesis Test for the Long-Term Calibration in Rating Systems with Overlapping Time Windows," Risks, MDPI, vol. 12(8), pages 1-28, August.
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Keywords
Rating system Validation Calibration quality;Statistics
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