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Out-of-Time Validation of Default Probabilities within the Basel Accord: A Comparative Study
27/27 checkable references clean · checked 2026-08-28
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
12 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.
The 27 checked references that resolve
resolves10.21314/JCR.2005.003
Extensions to the Gaussian copula: random recovery and random factor loadings
resolves10.3905/jfi.2017.26.3.025
Are the Probabilities Right? <i>New Multiperiod Calibration Tests</i>
resolves10.1287/mnsc.1100.1283
A New Goodness-of-Fit Test for Event Forecasting and Its Application to Credit Defaults
resolves10.1017/s0022109017000874
Are Ratings the Worst Form of Credit Assessment Except for All the Others?
resolves10.21314/jrmv.2010.055
Probability of default estimation and validation within the context of the credit cycle
resolves10.21314/jrmv.2012.088
Probability of default validation: a single-year and a multiyear methodology for the Basel framework
resolves10.21314/jrmv.2013.102
Probability of default validation: introducing the likelihood-ratio test and power considerations
resolves10.1016/j.jempfin.2018.03.003
On the cyclicality of default rates of banks: A comparative study of the asset correlation and diversification effects
resolves10.1007/s00180-013-0453-2
Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk
resolves10.1002/asmb.707
Modeling dependencies between rating categories and their effects on prediction in a credit risk portfolio
resolves10.1016/s1042-9573(03)00040-8
A risk-factor model foundation for ratings-based bank capital rules
resolves10.1016/j.jempfin.2006.05.002
Bayesian inference for generalized linear mixed models of portfolio credit risk
resolves10.21314/jrmv.2008.021
Estimating and validating long-run probability of default with respect to Basel II requirements
The 12 references without a DOI — listed, not checked
no DOI — not checkedPD Estimates for Basel II
no DOI — not checkedThe New Basel Capital Accord, International Convergence of Capital Measurement and Capital Standards: A Revised Framework. Bank for International Settlements
no DOI — not checkedref4
no DOI — not checkedBayesian Inference for Credit Risk with Serially Dependent Factor Model
no DOI — not checkedref18
no DOI — not checkedref21
no DOI — not checkedTesting rating accuracy
no DOI — not checkedBenchmarking asset correlations
no DOI — not checkedref28
no DOI — not checkedref34
no DOI — not checkedJoint validation of credit rating PDs under default correlation
no DOI — not checkedref39
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