Matches in SemOpenAlex for { <https://semopenalex.org/work/W3149920478> ?p ?o ?g. }
Showing items 1 to 83 of
83
with 100 items per page.
- W3149920478 abstract "In this paper I examine whether the probability of default (PD) of an obligor estimated by a logit model can really be considered a good estimate of the true PD. The general answer seems to be no, although in this paper I don’t carry out a large scale (simulation) analysis. With a simple set-up I show that the logit has a high potential of ‘mixing’ probabilities, that is, as signing similar scores to obligors with quite different PDs. I demonstrate how this situation is reflected in the convexity that can often be observed in empirical ROC curves. I think that the results have important implications in the pricing of individual exposures and raise the question of the stability of estimated PDs when the value-combinations of the risk factors underlying the portfolio change. This latter issue also relates to capital calculation, model building and validation as required by the new Basel capital rules. For example, because of the concavity of the risk weight formula a bank may want to avoid PD mixing thereby reducing its capital requirement." @default.
- W3149920478 created "2021-04-13" @default.
- W3149920478 creator A5071088243 @default.
- W3149920478 date "2007-01-01" @default.
- W3149920478 modified "2023-09-28" @default.
- W3149920478 title "Reconsidering the logit: the risk of individual names" @default.
- W3149920478 hasPublicationYear "2007" @default.
- W3149920478 type Work @default.
- W3149920478 sameAs 3149920478 @default.
- W3149920478 citedByCount "0" @default.
- W3149920478 crossrefType "posted-content" @default.
- W3149920478 hasAuthorship W3149920478A5071088243 @default.
- W3149920478 hasConcept C10138342 @default.
- W3149920478 hasConcept C105795698 @default.
- W3149920478 hasConcept C106159729 @default.
- W3149920478 hasConcept C140331021 @default.
- W3149920478 hasConcept C149782125 @default.
- W3149920478 hasConcept C151956035 @default.
- W3149920478 hasConcept C162118730 @default.
- W3149920478 hasConcept C162324750 @default.
- W3149920478 hasConcept C175444787 @default.
- W3149920478 hasConcept C177264268 @default.
- W3149920478 hasConcept C178350159 @default.
- W3149920478 hasConcept C199360897 @default.
- W3149920478 hasConcept C2776299755 @default.
- W3149920478 hasConcept C2779806880 @default.
- W3149920478 hasConcept C2780759654 @default.
- W3149920478 hasConcept C2780821815 @default.
- W3149920478 hasConcept C2864544 @default.
- W3149920478 hasConcept C29122968 @default.
- W3149920478 hasConcept C33923547 @default.
- W3149920478 hasConcept C41008148 @default.
- W3149920478 hasConcept C72134830 @default.
- W3149920478 hasConcept C95057490 @default.
- W3149920478 hasConceptScore W3149920478C10138342 @default.
- W3149920478 hasConceptScore W3149920478C105795698 @default.
- W3149920478 hasConceptScore W3149920478C106159729 @default.
- W3149920478 hasConceptScore W3149920478C140331021 @default.
- W3149920478 hasConceptScore W3149920478C149782125 @default.
- W3149920478 hasConceptScore W3149920478C151956035 @default.
- W3149920478 hasConceptScore W3149920478C162118730 @default.
- W3149920478 hasConceptScore W3149920478C162324750 @default.
- W3149920478 hasConceptScore W3149920478C175444787 @default.
- W3149920478 hasConceptScore W3149920478C177264268 @default.
- W3149920478 hasConceptScore W3149920478C178350159 @default.
- W3149920478 hasConceptScore W3149920478C199360897 @default.
- W3149920478 hasConceptScore W3149920478C2776299755 @default.
- W3149920478 hasConceptScore W3149920478C2779806880 @default.
- W3149920478 hasConceptScore W3149920478C2780759654 @default.
- W3149920478 hasConceptScore W3149920478C2780821815 @default.
- W3149920478 hasConceptScore W3149920478C2864544 @default.
- W3149920478 hasConceptScore W3149920478C29122968 @default.
- W3149920478 hasConceptScore W3149920478C33923547 @default.
- W3149920478 hasConceptScore W3149920478C41008148 @default.
- W3149920478 hasConceptScore W3149920478C72134830 @default.
- W3149920478 hasConceptScore W3149920478C95057490 @default.
- W3149920478 hasLocation W31499204781 @default.
- W3149920478 hasOpenAccess W3149920478 @default.
- W3149920478 hasPrimaryLocation W31499204781 @default.
- W3149920478 hasRelatedWork W1608834409 @default.
- W3149920478 hasRelatedWork W1820516832 @default.
- W3149920478 hasRelatedWork W2041600052 @default.
- W3149920478 hasRelatedWork W2054367175 @default.
- W3149920478 hasRelatedWork W2081816832 @default.
- W3149920478 hasRelatedWork W2144267456 @default.
- W3149920478 hasRelatedWork W2253999611 @default.
- W3149920478 hasRelatedWork W2259017985 @default.
- W3149920478 hasRelatedWork W2289043121 @default.
- W3149920478 hasRelatedWork W2388062666 @default.
- W3149920478 hasRelatedWork W2963848865 @default.
- W3149920478 hasRelatedWork W3100655242 @default.
- W3149920478 hasRelatedWork W3121741884 @default.
- W3149920478 hasRelatedWork W3123029577 @default.
- W3149920478 hasRelatedWork W3123313071 @default.
- W3149920478 hasRelatedWork W3124773624 @default.
- W3149920478 hasRelatedWork W3154096901 @default.
- W3149920478 hasRelatedWork W3196482336 @default.
- W3149920478 hasRelatedWork W2186210151 @default.
- W3149920478 hasRelatedWork W3121266455 @default.
- W3149920478 isParatext "false" @default.
- W3149920478 isRetracted "false" @default.
- W3149920478 magId "3149920478" @default.
- W3149920478 workType "article" @default.