Ratingverfahren: Diskriminanzanalyse versus Logistische Regression

Daniel Braun, Burkhard Allgeier and Heinz Cremers

No 179, Frankfurt School - Working Paper Series from Frankfurt School of Finance and Management

Abstract: The credit business is an essential part of each banks' activities. With regard to the increasing regulatory obligations, the risk management and the associated minimum capital requirements gain in importance. Banks have got the possibility to determine their credit risk by an internal rating system. It is current practice to make use of quantitative methods to develop the sys-tem. This paper will focus on rating systems calibrated using the discriminant analysis and the logistic regression. Both methods will be presented on a theoretical basis and will be applied in a practical testing. In the first step, the borrowers are divided into rating classes. In the second step, a default probability is determined for each of them. The paper will explore the two approaches and reveal the differences.

Keywords: discriminant analysis; logistic regression; logit; rating; Bankinternes Rating; Probability of Default (PD); Basel II; IRB-Ansatz; credit risk (search for similar items in EconPapers)
JEL-codes: C02 C13 C15 C38 C53 (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/54722/1/680551913.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:fsfmwp:179

Access Statistics for this paper

More papers in Frankfurt School - Working Paper Series from Frankfurt School of Finance and Management Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().