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Developing, Validating, and Monitoring a PD Model for Foundation IRB Approach

Nguyen, Van Phuong (2019): Developing, Validating, and Monitoring a PD Model for Foundation IRB Approach.

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Abstract

Assuming that a given bank wants to comply with the Basel Accord requirements, in particular the Foundation IRB approach. Accordingly, it has to develop a PD model to predict the probability of default of its borrower within one year. Hence, this paper aims to present a simply empirical procedure for developing, validating, and monitoring a PD model.

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