Testing the predictive power: A comparative study of current default probability validation tests

作者：

Highlights：

• Probability of default (PD) validation tests are compared via a simulation study.

• Several tests possess only a limited power to detect PD’s which are too low.

• For cyclical portfolios the significance level of a test should be increased.

摘要

•Probability of default (PD) validation tests are compared via a simulation study.•Several tests possess only a limited power to detect PD’s which are too low.•For cyclical portfolios the significance level of a test should be increased.

论文关键词：Basel accord,PD,Credit rating,Validation,Testing

论文评审过程：Received 9 November 2021, Revised 18 January 2022, Accepted 23 April 2022, Available online 6 May 2022, Version of Record 16 May 2022.

论文官网地址：https://doi.org/10.1016/j.eswa.2022.117312