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Statistical Approaches to PD Validation

In: The Basel II Risk Parameters

Author

Listed:
  • Stefan Blochwitz

    (Deutsche Bundesbank’s Central Office)

  • Marcus R. W. Martin

    (Deutsche Bundesbank’s Regional Office)

  • Carsten S. Wehn

    (internal market risk model)

Abstract

No abstract is available for this item.

Suggested Citation

  • Stefan Blochwitz & Marcus R. W. Martin & Carsten S. Wehn, 2006. "Statistical Approaches to PD Validation," Springer Books, in: Bernd Engelmann & Robert Rauhmeier (ed.), The Basel II Risk Parameters, chapter 0, pages 289-306, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-33087-5_13
    DOI: 10.1007/3-540-33087-9_13
    as

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    References listed on IDEAS

    as
    1. Jafry, Yusuf & Schuermann, Til, 2004. "Measurement, estimation and comparison of credit migration matrices," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2603-2639, November.
    2. Murphy, Allan H. & Winkler, Robert L., 1992. "Diagnostic verification of probability forecasts," International Journal of Forecasting, Elsevier, vol. 7(4), pages 435-455, March.
    3. Dirk Tasche, 2003. "A traffic lights approach to PD validation," Papers cond-mat/0305038, arXiv.org.
    4. Hamerle, Alfred & Liebig, Thilo & Scheule, Harald, 2004. "Forecasting Credit Portfolio Risk," Discussion Paper Series 2: Banking and Financial Studies 2004,01, Deutsche Bundesbank.
    Full references (including those not matched with items on IDEAS)

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