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...
Salvato in:
| Autore principale: | |
|---|---|
| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
MDPI AG
2021-11-01
|
| Serie: | International Journal of Financial Studies |
| Soggetti: | |
| Accesso online: | https://www.mdpi.com/2227-7072/9/4/63 |
| Tags: |
Nessun Tag, puoi essere il primo ad aggiungerne!!
|