10-05-2015 05:39 PM
Are the reports which aren't existent within PD and LGD given below present? If so, are there procedures?
Do you have sample report output and template for PD and LGD below, that you can suggest for the Risk Management in the Bank?
PD : Conditional Entropy Ratio, Calibration validation (Calibration Test Procedure Based on Default Correlation, Chi-square, Calibration Test using Standard Normal Distribution )
LGD: Cohen’s d test, t-Test
PD and LGD : Transition matrix, Descriptive statistics for input variables, Box-Whisker Plot.
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