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http://hdl.handle.net/10419/54722
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| Title: | | Ratingverfahren: Diskriminanzanalyse versus Logistische Regression  |
| Authors: | | Braun, Daniel Allgeier, Burkhard Cremers, Heinz |
| Issue Date: | | 2011 |
| Series/Report no.: | | Working paper series // Frankfurt School of Finance & Management 179 |
| Abstract (Translated): | | The credit business is an essential part of each banks' activities. With regard to the increasing regulatory obligations, the risk management and the associated minimum capital requirements gain in importance. Banks have got the possibility to determine their credit risk by an internal rating system. It is current practice to make use of quantitative methods to develop the sys-tem. This paper will focus on rating systems calibrated using the discriminant analysis and the logistic regression. Both methods will be presented on a theoretical basis and will be applied in a practical testing. In the first step, the borrowers are divided into rating classes. In the second step, a default probability is determined for each of them. The paper will explore the two approaches and reveal the differences. |
| Subjects: | | discriminant analysis logistic regression logit rating Bankinternes Rating Probability of Default (PD) Basel II IRB-Ansatz credit risk |
| JEL: | | C02 C13 C15 C38 C53 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management
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