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Article

Калибровка рейтинговой модели для секторов с низким количеством дефолтов

Помазанов М. В., Хамалинский А. С.

In this article the method of credit rating models creation in the context of low default portfolios is presented as exemplified by rating model for local and regional governments of the Russian Federation. The authors also describe calibration process with use of the relevant formulas in an explicit form and prove them.