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1、FacultyofScienceKorteweg-deVriesInstituteforMathematicsCreditScoringModelValidationMasterThesisJune29,2008XuezhenWuReferent:Prof.PeterSpreijKorteweg-deVriesInstituteforMathematicsAbstractUndertheframeworkofBaselII,banksareallowedtousetheirowninternalrating-based(IRB)approachesforkeydriversofcr
2、editriskasprimaryinputstothecapitalcalculation.Inaddition,regulatoryvalidationsoftheinternalrating/scoringsystemisrequired.Assessingthediscriminatorypowerandexam-iningthecalibrationofacreditscoringsystemsaretwodi®erentimportanttasksofvalidation.Thispaperdiscussesseveralcommonlyusedstatisticala
3、pproachesformeasuringthediscriminatorypowerandcalibrationandshowsthatsuchap-proachesshouldbeinterpretedwithcaution.Whentheobjectiveofthevalidationofacreditscoringmodelistocon¯rmthatthedevelopedscoringmodelisstillvalidforthecurrentapplicantpopulation,oneshould¯rstcheckwhethertheportfoliostructu
4、rechangedovertimeornot.Becauseinsomecases,signi¯cantshiftsoftheportfoliostructuremighthappen.AcknowledgementThisthesisistheresultofmyfourmonthsinternshipatCreditRiskManagement,RiskAnalyticsandInstruments,DeutscheBank,FrankfurtamMain,andisalsothe¯nalpartofmymasterstudyStochasticsandFinancialMat
5、hematicsattheUniversiteitvanAmsterdam.Itisapleasuretothankthemanypeoplewhomadethisthesispossible.Firstofall,IwouldliketothankThomasWernerforhiringmeasaninternatDeutscheBank,givingtheopportunitytodothispracticalresearch,super-visoringmeandprovidingresources.IalsowanttoexpressmygratitudetoMichae
6、lLuxenburger,MartinHillebrandfortheiradviceandsupervisiondur-ingmyinternship.ThankstoothercolleaguesatDBwhohadgivenmehelp,usefulinformationandsuggestions.Thisexperienceprovidedmewithdeeperin-sightsintocreditriskmanagementandbroadenedmyperspectiveonthebankingindustry.Meanwhile,Iwouldliketothank
7、mysupervisorDr.PeterSpreij,Korteweg-deVriesInstituteforMathematics,UniversiteitvanAmsterdamforhisguidanceandsupportduringmythesisandstudyatUvA.Thanksalsotothecoordinatorofthemasterprogramme,StochasticsandFinancialMathematicsatUvA,Dr.Ber
