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Download e-book for iPad: An Introduction to Lorentz Surfaces (De Gruyter Expositions by Tilla Weinstein

By Tilla Weinstein

ISBN-10: 311014333X

ISBN-13: 9783110143331

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In fact, AR based on panel databases can provide aggregated information about the time correlation of the risk scores. Generally, most models provide an AR in the range of 50% to 75% for (out-of-sample and out-of-time) validation tests. Additionally, the absolute deviation of the AR due to resampling is generally not significantly different from the original AR (Moody’s KMV, 2004). Next to the AR, the literature also suggests a number of alternative measures to evaluate the performance of a scoring system.

28 2. Rating and Scoring Techniques Note, however, that because the comparison of ARs is relative to a database, our definition of the AR is not restricted to having completely independent samples. In fact, AR based on panel databases can provide aggregated information about the time correlation of the risk scores. Generally, most models provide an AR in the range of 50% to 75% for (out-of-sample and out-of-time) validation tests. Additionally, the absolute deviation of the AR due to resampling is generally not significantly different from the original AR (Moody’s KMV, 2004).

Additionally, in the advanced IRB approach in recognition of the unique characteristics of national markets, supervisors will have the option of exempting smaller domestic firms from the maturity framework. In this framework smaller domestic firms are defined as those with consolidated sales and consolidated assets of less than Euro 500 million. 5 years, as under the foundation IRB approach. 5 years, while the numerator is the maturity adjustment based on the P D of the exposure and its maturity. 7 shows the exemplary maturity adjustments compared to a one-year maturity of an exposure.

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An Introduction to Lorentz Surfaces (De Gruyter Expositions in Mathematics 22) by Tilla Weinstein


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