Probability of default models are being used in financial institutions to meet requirement of Basel II’s IRB rules and Capital Requirement Directives. As it was emerging subject and being critical issue in response to credit risk crisis Tugba Keskinkilic and I dediced to work on this subject for our master thesis when we were studying at Goteborg University.
These models are employed for corporate and SME corporate segments in banking book under IRB treatment. Please click “Probabilistic Prediction of Bankruptcy with Financial Ratios” in order to read the full paper. You can also click this link to reach the entire paper online.