Modeling Credit Risk: An Application of the Rough Set Methodology
The Basel Accords encourages credit entities to implement their own models for measuring financial risk. In this paper, we focus on the use of internal ratings-based (IRB) models for the assessment of credit risk and, specifically, on one component that models the probability of default (PD). The tr...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Utara Malaysia
2013-02-01
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| Series: | International Journal of Banking and Finance |
| Online Access: | https://www.scienceopen.com/document?vid=3f8d6416-65bd-43f4-b6e8-febddbda5bcb |