Validation of default probabilities

Journal of Financial and Quantitative Analysis

Volumn 47, Issue 5, 2012, Pages 1089-1123

  Blöchlinger, Andreas ^a  

^a Cantonal Bank of Zurich   (Switzerland)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84876940996     PISSN: 00221090     EISSN: 17566916     Source Type: Journal    
DOI: 10.1017/S0022109012000324     Document Type: Article

References (44)

1. Alchian, A. A. "Uncertainty, Evolution, and Economic Theory." Journal of Political Economy, 58 (1950), 211-221.
2. Altman, E. I. "Financial Ratios, Discriminant Analysis, and the Prediction of Corporate Bankruptcy." Journal of Finance, 23 (1968), 589-609.
3. Andrews, D. W. K. "Chi-Square Diagnostic Tests for Econometric Models: Theory." Econometrica, 56 (1988), 1419-1453.
4. Andrews, D. W. K. "A Conditional Kolmogorov Test." Econometrica, 65 (1997), 1097-1128.
5. Andrews, D. W. K. "Cross-Section Regression with Common Shocks." Econometrica, 73 (2005), 1551-1573.
6. Balthazar, L. "PD Estimates for Basel II." Risk Magazine, 17 (2004), 84-85.
7. Bamber, D. "The Area Above the Ordinal Dominance Graph and the Area Below the Receiver Operating Characteristic Graph." Journal of Mathematical Psychology, 12 (1975), 387-415.
8. Basel Committee on Banking Supervision. "The Internal Ratings-Based Approach." Consultative Document, Bank for International Settlements (2001).
9. Basel Committee on Banking Supervision. "Studies on the Validation of Internal Rating Systems." Working Paper No. 14, Bank for International Settlements (2005).
10. Bertolini, G.; R. Damico; D. Nardi; A. Tinazzi; & G. Apolone. "One Model, Several Results: The Paradox of the Hosmer-Lemeshow Goodness-of-Fit Test for the Logistic Regression Model." Journal of Epidemiology and Biostatistics, 5 (2000), 251-253.
11. Bharath, S. T., & T. Shumway. "Forecasting Default with the Merton Distance to Default Model." Review of Financial Studies, 21 (2008), 1339-1369.
12. Blöchlinger, A. "Arbitrage-Free Credit Pricing Using Default Probabilities and Risk Sensitivities." Journal of Banking and Finance, 35 (2011), 268-281.
13. Blöchlinger, A., & M. Leippold. "Economic Benefit of Powerful Credit Scoring." Journal of Banking and Finance, 30 (2006), 851-873.
14. Blöchlinger, A., & M. Leippold. "A New Goodness-of-Fit Test for Event Forecasting and Its Application to Credit Defaults." Management Science, 57 (2011), 487-505.
15. Blochwitz, S.; S. Hohl; D. Tasche; & C. S. Wehn. "Validating Default Probabilities on Short Time Series." Working Paper, Deutsche Bundesbank (2004).
16. Brier, G. W. "Verification of Forecasts Expressed in Terms of Probability." Monthly Weather Review, 78 (1950), 1-3.
17. Chen, R.-R., & B. J. Sopranzetti. "The Valuation of Default-Triggered Credit Derivatives." Journal of Financial and Quantitative Analysis, 38 (2003), 359-382.
18. Cooke,W. E. "Forecasts and Verifications in Western Australia." Monthly Weather Review, 34 (1906), 23-24.
19. Crouhy, M.; R. A. Jarrow; & S. M. Turnbull. "The Subprime Credit Crisis of 2007." Journal of Derivatives, 16 (2008), 81-110.
20. Dawid, A. P. "The Well-Calibrated Bayesian." Journal of the American Statistical Association, 77 (1982), 605-610.
21. Dawid, A. P. "Calibration-Based Empirical Probability." Annals of Statistics, 13 (1985), 1251-1274.
22. DeLong, E. R.; D. M. DeLong; & D. L. Clarke-Pearson. "Comparing the Areas under Two or More Correlated Receiver Operating Characteristic Curves: A Nonparametric Approach." Biometrics, 44 (1988), 837-845.
23. Department of the Treasury, Federal Reserve System, Federal Deposit Insurance Corporation. "Internal Ratings-Based Systems for Corporate Credit and Operational Risk Advanced Measurement Approaches for Regulatory Capital." Draft Supervisory Guidance with Request for Comment, Federal Register, 68, No. 149 (Aug. 4, 2003), 45949-45988.
24. Friedman, M. Essays in Positive Economics. Chicago, IL: University of Chicago Press (1953).
25. Gini, C. "Measurement of Inequality of Incomes." Economic Journal, 31 (1921), 124-126.
26. Gordy, M. B. "A Comparative Anatomy of Credit Risk Models." Journal of Banking and Finance, 24 (2000), 119-149.
27. Hall, P., & C. C. Heyde. Martingale Limit Theory and Its Application. New York, NY: Academic Press (1980).
28. Harrell, F. E. Regression Modeling Strategies. New York, NY: Springer-Verlag (2001).
29. Hosmer, D. W., & S. Lemeshow. Applied Logistic Regression. New York, NY: John Wiley and Sons (1989).
30. Karr, A. F. Probability. New York, NY: Springer-Verlag (1993).
31. Kolmogorov, A. N. "Sulla Determinazione Empirica Di Una Legge Di Distribuzione." Giornale dell'Istituto Italiano degli Attuari, 4 (1933), 83-91.
32. Li, D. X. "On Default Correlation: A Copula Function Approach." Journal of Fixed Income, 9 (2000), 43-54.
33. Lorenz, M. O. "Methods of Measuring the Concentration of Wealth." Publications of the American Statistical Association, 9 (1905), 209-219.
34. Merton, R. C. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates." Journal of Finance, 29 (1974), 449-470.
35. Pearson, K. "On the Criterion That a Given System of Deviations from the Probable in the Case of a Correlated System of Variables Is Such That It Can Be Reasonably Supposed to Have Arisen from Random Sampling." London, Edinburgh and Dublin Philosophical Magazine and Journal of Science, 50 (1900), 157-175.
36. Pollard, D. "General Chi-Square Goodness-of-Fit Tests with Data-Dependent Cells." Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete, 50 (1979), 317-331.
37. Sandroni, A. "Do Markets Favor Agents Able to Make Accurate Predictions?" Econometrica, 68 (2000), 1303-1341.
38. Spiegelhalter, D. J. "Probabilistic Prediction in Patient Management and Clinical Trials." Statistics in Medicine, 5 (1986), 421-433.
39. Stein, R. M. "Are the Probabilities Right?" Working Paper, Moody's KMV (2003).
40. Swets, J. A. "Measuring the Accuracy of Diagnostic Systems." Science, 240 (1988), 1285-1293.
41. Treacy, W. F., & M. Carey. "Credit Risk Rating Systems at Large U.S. Banks." Journal of Banking and Finance, 24 (2000), 167-201.
42. Wiginton, J. C. "A Note on the Comparison of Logit and Discriminant Models of Consumer Credit Behavior." Journal of Financial and Quantitative Analysis, 15 (1980), 757-770.
43. Wilde, T. "Credit Risk+ A Credit Risk Management Framework." Technical Document, Credit Suisse (1997).
44. Zhou, C. "An Analysis of Default Correlations and Multiple Defaults." Review of Financial Studies, 14 (2001), 555-576.