Statistical Approaches to PD Validation
In: The Basel II Risk Parameters
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DOI: 10.1007/3-540-33087-9_13
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References listed on IDEAS
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- Dirk Tasche, 2003. "A traffic lights approach to PD validation," Papers cond-mat/0305038, arXiv.org.
- Hamerle, Alfred & Liebig, Thilo & Scheule, Harald, 2004. "Forecasting Credit Portfolio Risk," Discussion Paper Series 2: Banking and Financial Studies 2004,01, Deutsche Bundesbank.
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Keywords
Credit Risk; Binomial Test; Default Probability; Default Rate; Brier Score;All these keywords.
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