Statistical aspects of setting up a credit rating system
Statistische Aspekte der Erstellung eines Kredit Ratings Verfahren
- The new international capital standard for credit institutions (“Basel II”) allows banks to use internal rating systems in order to determine the risk weights that are relevant for the calculation of capital charge. Therefore, it is necessary to develop a system that enfolds the main practices and methods existing in the context of credit rating. The aim of this thesis is to give a suggestion of setting up a credit rating system, where the main techniques used in practice are analyzed, presenting some alternatives and considering the problems that can arise from a statistical point of view. Finally, we will set up some guidelines on how to accomplish the challenge of credit scoring. The judgement of the quality of a credit with respect to the probability of default is called credit rating. A method based on a multi-dimensional criterion seems to be natural, due to the numerous effects that can influence this rating. However, owing to governmental rules, the tendency is that typically one-dimensional criteria will be required in the future as a measure for the credit worthiness or for the quality of a credit. The problem as described above can be resolved via transformation of a multi-dimensional data set into a one-dimensional one while keeping some monotonicity properties and also keeping the loss of information (due to the loss of dimensionality) at a minimum level.
- Die Bewertung der Qualität eines zu vergebenden Kredits (bzw. bei nachträglicher Bewertung auch die eines bereits erteilten) bezüglich der Sicherheit seiner Rückzahlung bezeichnet man als Kredit-Rating. Hierbei bietet sich natürlich aufgrund der Vielzahl der möglichen Einflussfaktoren eine Beurteilung an, die auf mehreren Einzelwerten basiert. Allerdings besteht seitens des Gesetzgebers die Tendenz zukünftig einheitliche, typischerweise eindimensionale Bewertungsskalen zu verlangen. Die oben beschriebene Problematik verlangt nach einer Transformation eines mehrdimensionalen Datensatzes in einen eindimensionalen unter Beibehaltung gewisser Monotonieeigenschaften und bei gleichzeitig minimalem Informationsverlust.