Leading European researcher reviews credit rating systems

A European expert on credit risk and the implementation of the Basel II international standard for banking regulation will deliver a free seminar this afternoon at UTS.

Dr Marlene Müller, Head of the Department of Financial Mathematics at the Fraunhofer Institute in Germany, will speak on Redesigning Ratings: Assessing the Discriminatory Power of Credit Scores under Censoring.

Dr Müller says that in the light of the Basel II accord, redesigning rating systems has become an important issue for banks and other financial institutions.

She will discuss the need for banks to gather all data on credit applications, unsuccessful as well as successful, to more accurately evaluate existing and alternative rating systems.

On Friday (31 October) Dr Müller will conduct a one-day practitioner workshop, Calibrating and Validating Credit Rating Systems, at the Swissôtel in Market St Sydney.

The workshop will investigate issues including: validation of rating scores; classification methods; validation of rating systems; time-dependent credit date; and, credit portfolio risk.

The events are presented by the Financial Integrity Research Network (FIRN), based in the UTS School of Finance and Economics, with the Fraunhofer Institute for Financial Mathematics in Kaiserslautern and the Australian National University.

Involving researchers at 12 universities, FIRN is an Australian Research Council network dedicated to enhancing the integrity and efficiency of Australia's financial system.

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