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- W796396377 abstract "In Basel II compliance, internal rating systems are allowed for banks to enhance the self control and the validation of the system are getting more important. The validation methods are composed of qualitative test and quantitative test, three basic standards of which are discriminatory power, stability and calibration. The aim of this article is to review the quantitative tests for calibration and find a new method for it. These methods for discrimination between forecasted PD and observed PD include binomial test, chi square test, Brier score, traffic lights approach, normal test and extended traffic lights approach. We introduce a modified extended traffic lights approach considering asset correlations." @default.
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- W796396377 date "2010-01-01" @default.
- W796396377 modified "2023-09-23" @default.
- W796396377 title "Study on the validation methods of calibration considering correlations" @default.
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