Increase of banks’ credit risks forecasting power by the usage of the set of alternative models

Research Article

Russian Journal of Economics 4(2): 155-174
https://doi.org/10.3897/j.ruje.4.27737 (30 Jun 2018)

Other versions:

Article title
Abstract
Keywords
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