Developing, Validating, and Monitoring a PD Model for Foundation IRB Approach

Assuming that a given bank wants to comply with the Basel Accord requirements, in particular the Foundation IRB approach. Accordingly, it has to develop a PD model to predict the probability of default of its borrower within one year. Hence, this paper aims to present a simply empirical procedure for developing, validating, and monitoring a PD model.

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Year of publication:	2019-10-02
Authors:	Nguyen, Van Phuong

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Nguyen, Van Phuong (2019): Developing, Validating, and Monitoring a PD Model for Foundation IRB Approach.
Classification:	G00 - Financial Economics. General ; G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G20 - Financial Institutions and Services. General ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	BASE

Persistent link: https://www.econbiz.de/10015212247