Basel II suggests that banks estimate downturn loss given default (DLGD) in capital requirement calculation. There have been studies that focused on the dependence of default rates and loss given defaults through economic cycles. However, the models proposed are still not satisfactory. In this...

To enhance test security of high stakes tests, it is vital to understand the way various exposure control strategies function under various IRT models. To that end the present dissertation focused on the performance of several exposure control strategies under the generalized partial credit...