Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/54722 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
Frankfurt School - Working Paper Series No. 179
Verlag: 
Frankfurt School of Finance & Management, Frankfurt a. M.
Zusammenfassung (übersetzt): 
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.
Schlagwörter: 
discriminant analysis
logistic regression
logit
rating
Bankinternes Rating
Probability of Default (PD)
Basel II
IRB-Ansatz
credit risk
JEL: 
C02
C13
C15
C38
C53
Dokumentart: 
Working Paper

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