Selecting credit rating models: a cross-validation-based comparison of discriminatory power

Marc Ryser (marc.ryser@ch.ey.com) and Stefan Denzler (stefan.denzler@ch.ey.com)

Financial Markets and Portfolio Management, 2009, vol. 23, issue 2, 187-203

Keywords: Credit risk modeling; Default risk; Credit rating models; Cross-validation; C31; C45; C52; G21 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s11408-009-0101-6

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