University of Twente Student Theses


Backtesting framework for PD, EAD and LGD

Maarse, Bauke (2012) Backtesting framework for PD, EAD and LGD.

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Abstract:The objective of this thesis is to develop a backtesting framework for retail models. Currently a general framework is available. However, this framework has been developed several years ago and risk management of Rabobank International believes that there is room for improvement. This leads to the main goal of this thesis: improving the current backtesting methodology for probability of default (PD), loss given default (LGD) and exposure at default (EAD) and develop a framework for Rabobank International.
Item Type:Essay (Master)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:85 business administration, organizational science
Programme:Business Administration MSc (60644)
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