Validation of Corporate Probability of Default Models Considering Alternative Use Cases
In this study, we consider the construction of <i>through-the-cycle</i> (“TTC”) PD models designed for credit underwriting uses and <i>point-in-time</i> (“PIT”) PD models suitable for early warning uses, considering which validation elements should be emphasized in each case. We build PD models usin...
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| Format: | Artigo |
| Sprache: | Inglês |
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MDPI AG
2021-11-01
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| Schriftenreihe: | International Journal of Financial Studies |
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| Online-Zugang: | https://www.mdpi.com/2227-7072/9/4/63 |
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