Abstract
Rating models for retail portfolios deserve a more detailed examination because they differ from other bank portfolios. The differences can mainly be attributed to the specific data structure encountered when analyzing retail exposures. One implication is that different statistical tools have to be used when creating the model. Most of these statistical tools do not belong to the banker’s standard toolbox. At the same time – and strictly speaking for the same reason – the banks’ risk management standards for retail exposures are not comparable to those of other portfolios.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
BIS (2004), International Convergence of Capital Measurement and Capital Standards, Basel Committee on Banking Supervision, June 2004.
Good IJ (1950), Probability and the Weighing of Evidences, Charles Griffin, London.
Hand DJ (2001), Modelling consumer credit risk, IMA Journal of Management Mathematics 12, pp. 139–155.
Kullback S (1959), Information Theory and Statistics, Wiley, New York.
Thomas LC, Crook J, Edelman D (2002), Credit Scoring and its applications, Siam Monographs on Mathematical Modeling and Computation.
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2011 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Porath, D. (2011). Scoring Models for Retail Exposures. In: Engelmann, B., Rauhmeier, R. (eds) The Basel II Risk Parameters. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-16114-8_3
Download citation
DOI: https://doi.org/10.1007/978-3-642-16114-8_3
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-16113-1
Online ISBN: 978-3-642-16114-8
eBook Packages: Business and EconomicsEconomics and Finance (R0)