Internal ratings: PD estimates for Basel II - Under Basel II, banks will have to prove that the long-run average probabilities of default they assign to their clients, which will be used as the basis for regulatory capital requirements, are correct. Currenrly, there are no standard tests to compare them with observed default rates. The author develops an approach that is directly derived from the ...
| Year of publication: |
2004
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| Authors: | Balthazar, Laurent |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 17.2004, 4, p. 84-85
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