Laurent Millischer

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

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Scholarly Papers (1)

1.

Advances in Multivariate Back-testing for Credit Risk Underestimation

ECB Working Paper No. 1885
Number of pages: 35 Posted: 05 Jul 2016
National Bank of Belgium, Oesterreichische Nationalbank (OeNB), European Central Bank (ECB), Oesterreichische Nationalbank (OeNB), European Central Bank (ECB) and Deutsche Bundesbank
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Abstract:

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credit ratings, probability of default, back-testing, one-sided