Statistical models for the Basel II internal ratings-based approach to measuring credit risk of retail products

DOI10.4310/SII.2008.V1.N2.A2zbMath1230.91183MaRDI QIDQ660053

Samuel Po-Shing Wong, Tze Leung Lai

Publication date: 25 January 2012

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

empirical BayesMarkov chaingeneralized linear mixed models, credit scoringloss given defaultprobability of default

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)

Related Items (2)

Credit portfolios, credibility theory, and dynamic empirical Bayes ⋮ Evaluating probability forecasts

Uses Software

• Dowd

This page was built for publication: Statistical models for the Basel II internal ratings-based approach to measuring credit risk of retail products