信用リスク管理の基礎 - ffr-plus.jp
基本的にはpdやead、lgdなどのパラメータ。 pdは財務データ等から算出される 格付・クレジットスコアから推計される。 したがって、格付・クレジットスコアの有効性、安定性や 推定pdも「検証」の対象となる。 信用varの検証
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