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Credit Risk Modelling of Low Default Portfolios: Part II - Fintegral’s overview to probability of default estimation

Posted on Mar 02, 2022

In the second part of the series dedicated to low default portfolios, the focus is on how to tackle two of the biggest challenges of the modelling process: target definition and probability of default calibration.

Based on our extensive experience, we have listed a series of possible quantitative and qualitative approaches that can be used by a financial institution.

Read our introduction on low default portfolios here.

For more information or if you have any questions please contact:

Dr. Andreas Peter
Managing Partner
Fintegral Deutschland AG
+49 160 583 40 66

Samuele D'Altri
Senior Manager
Fintegral UK Ltd.
+44 7494 855 102

Polly Wong
Fintegral UK Ltd.
+44 7519 581 592

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