Abstract
This chapter deals with the modeling of credit ratings. The original results quoted are based on the role and main provisions of the Basel Agreements dealing with the regulation of banking risks. Bank rating models by the top rating agencies and the models of default probability of various entities are reviewed. Rating scales used by different agencies are compared.
This chapter was written jointly with A. Kostrov.
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Karminsky, A., Polozov, A. (2016). Modelling of Credit Ratings. In: Handbook of Ratings. Springer, Cham. https://doi.org/10.1007/978-3-319-39261-5_3
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DOI: https://doi.org/10.1007/978-3-319-39261-5_3
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