Statistical Methods to Develop Rating Models

1

Estimation of a Rating Model for Corporate Exposures

13

Scoring Models for Retail Exposures

25

The Shadow Rating Approach - Experience from Banking Practice

39

Estimating Probabilities of Default for Low Default Portfolios

79

A Multi-Factor Approach for Systematic Default and Recovery Risk

105

Modelling Loss Given Default: A "Point in Time"-Approach

127

Estimating Loss Given Default - Experiences from Banking Practice

143

Overview of EAD Estimation Concepts

177

EAD Estimates for Facilities with Explicit Limits

197

Validation of Banks' Internal Rating Systems - A Supervisory Perspective

243

Measures of a Rating's Discriminative Power - Applications and Limitations

263

Statistical Approaches to PD Validation

289

PD-Validation - Experience from Banking Practice

307

Development of Stress Tests for Credit Portfolios

347