Checking default correlation and score correlation in a breakpoint model for rating classification

DOI10.1515/EQC-2015-0006zbMath1390.91317OpenAlexW2320526761MaRDI QIDQ1650545

Daniel Tillich

Publication date: 4 July 2018

Published in: Economic Quality Control (Search for Journal in Brave)

Full work available at URL: https://www.degruyter.com/view/j/eqc.2016.31.issue-1/eqc-2015-0006/eqc-2015-0006.xml?format=INT

zbMATH Keywords

default correlationdefault probabilitysplit pointcredit risk modelrating classificationscore correlation

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Stochastic models in economics (91B70) Credit risk (91G40)

Uses Software

• QRM

Cites Work

• Estimation of split-points in binary regression
• Nonparametric estimation of a discontinuity in regression
• Estimation of rating classes and default probabilities in credit risk models with dependencies
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