A practical approach to validating a PD model

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NETL
NSTL

外文摘要：The capital adequacy framework Basel Ⅱ aims to promote the adoption of stronger risk management practices by the banking industry. The implementation makes validation of credit risk models more important. Lenders therefore need a validation methodology to convince their supervisors that their credit scoring models are performing well. In this paper we take up the challenge to propose and implement a simple validation methodology that can be used by banks to validate their credit risk modelling exercise. We will contextualise the proposed methodology by applying it to a default model of mortgage loans of a commercial bank in the Netherlands.

外文关键词：

credit riskprobability of defaultbasel IIstatistical validationlogit model

作者：

Lydian Medema、Ruud H. Koning、Robert Lensink

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作者单位：

Department of Economics and Econometrics, University of Croningen, Groningen, The Netherlands Center of International Banking, Insurance and Finance (CIBIF), Faculty of Economics and Business, University of Groningen. P.O. Box 800, 9700 AV, Groningen, The Netherlands

Department of Einance, University of Groningen. Groningen, The Netherlands Center of International Banking, Insurance and Finance (CIBIF), Faculty of Economics and Business, University of Groningen. P.O. Box 800, 9700 AV, Groningen, The Netherlands

出版年：

2009

Journal of banking & finance

ISSHP

ISSN：0378-4266

年,卷(期)：2009.33(4)