Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/54722 
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dc.contributor.authorBraun, Danielen
dc.contributor.authorAllgeier, Burkharden
dc.contributor.authorCremers, Heinzen
dc.date.accessioned2011-12-22-
dc.date.accessioned2012-01-18T12:57:21Z-
dc.date.available2012-01-18T12:57:21Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/54722-
dc.language.isogeren
dc.publisher|aFrankfurt School of Finance & Management |cFrankfurt a. M.en
dc.relation.ispartofseries|aFrankfurt School - Working Paper Series |x179en
dc.subject.jelC02en
dc.subject.jelC13en
dc.subject.jelC15en
dc.subject.jelC38en
dc.subject.jelC53en
dc.subject.ddc330en
dc.subject.keyworddiscriminant analysisen
dc.subject.keywordlogistic regressionen
dc.subject.keywordlogiten
dc.subject.keywordratingen
dc.subject.keywordBankinternes Ratingen
dc.subject.keywordProbability of Default (PD)en
dc.subject.keywordBasel IIen
dc.subject.keywordIRB-Ansatzen
dc.subject.keywordcredit risken
dc.titleRatingverfahren: Diskriminanzanalyse versus Logistische Regression-
dc.typeWorking Paperen
dc.identifier.ppn680551913en
dc.description.abstracttransThe 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.en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:fsfmwp:179en

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