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Title:Ratingverfahren: Diskriminanzanalyse versus Logistische Regression PDF Logo
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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