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- W55564420 abstract "Abstract This chapter examines the application of the credibility theory , originally developed in the field of risk theory and insurance mathematics, to benchmarking of credit ratings from heterogenous and different credit portfolios. This approach offers an interesting theoretical framework in which robust ratings comparability is enabled by explicitly correcting risk bucket estimates for the portfolio’s structure effects that are deemed significant. Moreover, statistical tests may then be performed to assess the comparability of whole different risk structures reflected in rating systems. Finally, hierarchical credibility models dealing with nested risk classifications and estimations may also be useful to formalize mapping rules in particular when the benchmark is not of the same granularity. Such ‘Credible’ mapping could then help build more consistent master scales." @default.
- W55564420 created "2016-06-24" @default.
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- W55564420 date "2008-01-01" @default.
- W55564420 modified "2023-09-24" @default.
- W55564420 title "Of the credibility of mapping and benchmarking credit risk estimates for internal rating systems" @default.
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- W55564420 doi "https://doi.org/10.1016/b978-075068158-2.50010-x" @default.
- W55564420 hasPublicationYear "2008" @default.
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