riskparameters.eu
riskparameters.eu

Probability of Default

  • Use exposure level statistical models as the basis for pooling/mapping
    • to enable better risk differentiation and calibration
    • to assure all potential factors have been considered
  • Use reference definition of default or custom definition
  • Build customer or account level models
  • Evaluate various statistical modelling approaches
    • Scorecards
    • Logistic Regression
    • Trees
    • Neural Networks

 

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© Hendrik Wagner