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A light on the Shadow-Bond approach, the development of RI’s new Commercial Banks PD model

Varekamp, B. (2014) A light on the Shadow-Bond approach, the development of RI’s new Commercial Banks PD model.

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Abstract:In this thesis the process of developing Rabobank International’s new Commercial Banks Probability of Default model is described. This model had to be redeveloped since the old model was outdated due to the latest financial crisis. The CBPD model is developed with the Shadow-Bond approach, an approach for mimicking S&P’s rating model. During the model development process weaknesses of this approach are addressed and tackled where possible.
Item Type:Essay (Master)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:31 mathematics, 83 economics
Programme:Industrial Engineering and Management MSc (60029)
Link to this item:http://purl.utwente.nl/essays/65010
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