Universidad Complutense de Madrid Máster en Ingeniería Matemática Curso 2007-2008 Modelling Week Second Edition June 16 – June 24, 2008 Credit Scoring Modelling for Retail Banking Sector Problem raised by Accenture. Coordinators: Ignacio Villanueva (UCM). Estela Luna (Accenture).
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Máster en Ingeniería MatemáticaCurso 2007-2008
Modelling WeekSecond Edition
June 16 – June 24, 2008
EL = PD * EAD * LGD
Is defined as default probability calibrated for a year.
A=0.0004 B=3.7410 C=2.7870
Where VaR99 is the fixed level of risk the lender is willing to take.
As we can see we got very good agreement between the two approaches, on the order of 10^(−4).