The construction of an internal rating model is the main task for the bank in the framework of the IRB-foundation approach the fact that it is necessary to determine the probability of default by rating class. As a result, several statistical approaches can be used, such as logistic regression...

The construction of an internal rating model is the main task for the bank in the framework of the IRB-foundation approach the fact that it is necessary to determine the probability of default by rating class. As a result, several statistical approaches can be used, such as logistic regression...

We propose new specifications that explicitly account for information noise in the input data of bankruptcy hazard models. The specifications are motivated by a theory of modeling credit risk with incomplete information (Duffie and Lando [2001]). Based on over 2 million firm-months of data...