The Analytics of Risk Model Validation
A collection of papers in this new and developing area of research, this book focuses on the quantitative side of model validation and covers model validation in credit, market, and operational risk.
TABLE OF CONTENTS The Analytics of Risk Model Validation
Chapter 11: Validation of Internal Rating Systems and PD Estimates
Dirk Tasche [ ]
Abstract
Based on the theoretical binary classification framework, the notions of discriminatory power of a rating system and calibration of PD (probability of default) estimates are introduced. A variety of tools for measuring and testing discriminatory power and for testing correct calibration is presented.
[*] The opinions expressed in this paper are those of the author and do not necessarily reflect views of Fitch Ratings.
[ ] Fitch Ratings Ltd., London, United Kingdom.
Copyright Elsevier Ltd. 2008 under license agreement with Books24x7
