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Credit Risk Modelling of Low Default Portfolios: Part III - Parametric approaches for PD calibration

Posted on Jun 22, 2022

In the third part of low default portfolios series, the focus is on different parametric approaches for PD calibration. We have tested out the three major parametric calibration approaches and compared the results.

Read our overview here.

Recap different target definition and PD calibration options for low default portfolios in our previous post.


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

Dr. Andreas Peter
Managing Partner
Fintegral Deutschland AG
+49 160 583 40 66
andreas.peter@fintegral.com

Samuele D'Altri
Senior Manager
Fintegral UK Ltd.
+44 7494 855 102
samuele.daltri@fintegral.com

Polly Wong
Manager
Fintegral UK Ltd.
+44 7519 581 592
polly.wong@fintegral.com

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