Modeling Credit Risk: An Application of the Rough Set Methodology

The Basel Accords encourages credit entities to implement their own models for measuring financial risk. In this paper, we focus on the use of internal ratings-based (IRB) models for the assessment of credit risk and, specifically, on one component that models the probability of default (PD). The tr...

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Bibliographic Details
Main Authors: Medina, Reyes Samaniego, Cueto, Maria Jose Vazquez
Format: Article
Published: Universiti Utara Malaysia Press 2013
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Online Access:http://repo.uum.edu.my/24987/
http://ijbf.uum.edu.my/index.php/previous-issues/149-the-international-journal-of-banking-and-finance-ijbf-vol-10-no-1-march-2013
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