A practical approach to validating a PD model

Autor:	Robert Lensink, M. Medema, Lydian Medema, Ruud H. Koning
Přispěvatelé:	Research programme EEF
Rok vydání:	2009
Předmět:	Economics and Econometrics Actuarial science Probability of default business.industry Computer science Statistical validation Commercial bank Basel II Ontwikkelingseconomie Banking industry Capital adequacy ratio Development Economics MGS Logit model business Credit risk Finance Risk management
Zdroj:	Journal of Banking and Finance 33 (2009) 4 Journal of Banking and Finance, 33(4), 701-708 Journal of Banking & Finance, 33(4), 701-708. ELSEVIER SCIENCE BV
ISSN:	0378-4266
DOI:	10.1016/j.jbankfin.2008.11.007
Popis:	The capital adequacy framework Basel II aims to promote the adoption of stronger risk management practices by the banking industry. The implementation makes validation of credit risk models more important. Lenders therefore need a validation methodology to convince their supervisors that their credit scoring models are performing well. In this paper we take tip the challenge to propose and implement a simple validation methodology that can be used by banks to validate their credit risk modelling exercise. We will contextualise the proposed methodology by applying it to a default model of mortgage loans of a commercial bank in the Netherlands. (C) 2009 Elsevier B.V. All rights reserved.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::81957e32d2d36b175607a2367b251508 https://doi.org/10.1016/j.jbankfin.2008.11.007 Zobrazit plný text záznamu Full Text from ScienceDirect