Effects of missing data in credit risk scoring. A comparative analysis of methods to achieve robustness in the absence of sufficient data

@article{Lpez2010EffectsOM,
  title={Effects of missing data in credit risk scoring. A comparative analysis of methods to achieve robustness in the absence of sufficient data},
  author={Raquel Fl{\'o}rez L{\'o}pez},
  journal={JORS},
  year={2010},
  volume={61},
  pages={486-501}
}
The 2004 Basel II Accord has pointed out the benefits of credit risk management through internal models using internal data to estimate risk components: probability of default (PD), loss given default, exposure at default and maturity. Internal data are the primary data source for PD estimates; banks are permitted to use statistical default prediction models to estimate the borrowers’ PD, subject to some requirements concerning accuracy, completeness and appropriateness of data. However, in… CONTINUE READING
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Low default portfolios: A proposal for conservative estimation of default probabilities

N Benjamin, A Catheart, K Ryan
Working Paper, Financial Services Authority, London, April. • 2006
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