Goodness-of-Fit of Logistic Regression of the Default Rate on GDP Growth Rate and on CDX Indices
Under the Basel II and Basel III agreements, the probability of default (PD) is a key parameter used in calculating expected credit loss (ECL), which is typically defined as: PD <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><sema...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-08-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/9/16/1930 |