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1. Readjusting Historical Credit Ratings : using Ordered Logistic Regression and Principal ComponentAnalysis
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : Readjusting Historical Credit Ratings using Ordered Logistic Re-gression and Principal Component Analysis The introduction of the Basel II Accord as a regulatory document for creditrisk presented new concepts of credit risk management and credit risk mea-surements, such as enabling international banks to use internal estimates ofprobability of default (PD), exposure at default (EAD) and loss given default(LGD). These three measurements is the foundation of the regulatory capitalcalculations and are all in turn based on the bank’s internal credit ratings. LÄS MER