Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/54722
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dc.contributor.authorBraun, Danielen_US
dc.contributor.authorAllgeier, Burkharden_US
dc.contributor.authorCremers, Heinzen_US
dc.date.accessioned2011-12-22en_US
dc.date.accessioned2012-01-18T12:57:21Z-
dc.date.available2012-01-18T12:57:21Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/54722-
dc.language.isogeren_US
dc.publisher|aFrankfurt School of Finance & Management |cFrankfurt, M.en_US
dc.relation.ispartofseries|aWorking paper series // Frankfurt School of Finance & Management |x179en_US
dc.subject.jelC02en_US
dc.subject.jelC13en_US
dc.subject.jelC15en_US
dc.subject.jelC38en_US
dc.subject.jelC53en_US
dc.subject.ddc330en_US
dc.subject.keyworddiscriminant analysisen_US
dc.subject.keywordlogistic regressionen_US
dc.subject.keywordlogiten_US
dc.subject.keywordratingen_US
dc.subject.keywordBankinternes Ratingen_US
dc.subject.keywordProbability of Default (PD)en_US
dc.subject.keywordBasel IIen_US
dc.subject.keywordIRB-Ansatzen_US
dc.subject.keywordcredit risken_US
dc.titleRatingverfahren: Diskriminanzanalyse versus Logistische Regressionen_US
dc.typeWorking Paperen_US
dc.identifier.ppn680551913en_US
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_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:fsfmwp:179-

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