Measuring the Discriminative Power of Rating Systems

32 Pages Posted: 8 Jun 2016

See all articles by Bernd Engelmann

Bernd Engelmann

Deutsche Bundesbank

Evelyn Hayden

Raiffeisen Bank International

Dirk Tasche

Deutsche Bundesbank

Date Written: 2003

Abstract

Assessing the discriminative power of rating systems is an important question to banks

Keywords: Validation, Rating Models, Credit Analysis

JEL Classification: G10, C52

Suggested Citation

Engelmann, Bernd and Hayden, Evelyn and Tasche, Dirk, Measuring the Discriminative Power of Rating Systems (2003). Bundesbank Series 2 Discussion Paper No. 2003,01, Available at SSRN: https://ssrn.com/abstract=2793951 or http://dx.doi.org/10.2139/ssrn.2793951

Bernd Engelmann (Contact Author)

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Evelyn Hayden

Raiffeisen Bank International ( email )

Am Stadtpark 9
Vienna, A-1030
Austria
+43 1 71707 (Phone)

Dirk Tasche

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

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