Rudakova, Olga Stepanovna and Ipatyev, Konstantin (2015) Some Approaches to the Calibration of Internal Rating Models. Review of European Studies, 7 (10). pp. 25-36. ISSN 1918-7173
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Abstract
This article covers the peculiarities of calibration of internal rating models which are the most popular approach to assessing credit risks. The authors address the most common approaches and methods used for rating models calibration, as well as propose their own algorithm for calibration, the main feature of which is taking into account the forecasted probability of default on the portfolio. Research methods include regression analysis, time series analysis (ARIMA models development). Reliability of the proposed approach has been verified on the basis of the portfolio, based on the debt obligations of Russia financial institutions. The advantage of the proposed approach towards determination of the average default probability of credit portfolio is that one gets a tool that allows you to construct a rating model that is “forward looking”, respectively, appear to more quickly adapt to the changing patterns of rating environment.
Item Type: | Article |
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Subjects: | West Bengal Archive > Multidisciplinary |
Depositing User: | Unnamed user with email support@westbengalarchive.com |
Date Deposited: | 14 Jul 2023 11:39 |
Last Modified: | 04 Jun 2024 11:51 |
URI: | http://article.stmacademicwriting.com/id/eprint/1284 |