Loterman, Gert; Brown, Iain; Martens, David; Mues, … - In: International Journal of Forecasting 28 (2012) 1, pp. 161-170
The introduction of the Basel II Accord has had a huge impact on financial institutions, allowing them to build credit risk models for three key risk parameters: PD (probability of default), LGD (loss given default) and EAD (exposure at default). Until recently, credit risk research has focused...
