Internal ratings: Rating properties and their implications for Basel II capital - The authors offer new insights on the verification of ratings. Within a consistent framework, the basic properties of association, calibration, discrimination and refinement in rating forecasts are defined and measures derived. It is shown that refinement has an important influence on Basel II capital because, other ...
| Year of publication: |
2005
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| Authors: | Rauhmeier, Robert ; Scheule, Harald |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 18.2005, 3, p. 78-83
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