Contents

I. Statistical Methods to Develop Rating Models ................................................1

III. Scoring Models for Retail Exposures ..........................................................25

V. Estimating Probabilities of Default for Low Default Portfolios ................. 79

VI. A Multi-Factor Approach for Systematic Default and Recovery Risk...105

VII. Modelling Loss Given Default: A “Point in Time”-Approach...............127

VIII. Estimating Loss Given Default – Experiences from Banking

Practice...............................................................................................................143

IX. Overview of EAD Estimation concepts .................................................... 177

X. EAD Estimates for Facilities with Explicit Limits..................................... 197

XI. Validation of Banks’ Internal Rating Systems - A Supervisory

Perspective .........................................................................................................243

XII. Measures of a Rating’s Discriminative Power – Applications and

Limitations .........................................................................................................263

XIII. Statistical Approaches to PD Validation................................................289

XIV. PD-Validation – Experience from Banking Practice ............................ 307

XV. Development of Stress Tests for Credit Portfolios.................................. 347

Contributors.......................................................................................................369

Index ...................................................................................................................373