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Research Article
Russian Journal of Economics 4(2): 155-174
https://doi.org/10.3897/j.ruje.4.27737 (30 Jun 2018)
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  • 1. Introduction
  • 2. Literature review
  • 3. Data adjustments
    • 3.1. Building a representative sample from the empirical data
    • 3.2. Adjustment of ratings to the base scale
  • 4. Construction of empirical models of PD and credit ratings
    • 4.1. Credit ratings and PD models
    • 4.2. Interpretation of financial factors of influence on credit risk of a bank
    • 4.3. Principal component analysis
  • 5. Construction of synergic models
    • 5.1. Calibration of rating scale and probability of default
    • 5.2. Comparison of distributions of forecast errors of PD and ratings model
    • 5.3. Construction of synergic models
    • 5.3.1. Out-of-sample check of the synergic model
  • 6. Conclusion
  • References
  • Appendix. Ratings’ comparison scale
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