The adjustment of risk weights to the respective credit risks; more specifically, the assignment of default probabilities to the individual rating classes. – A rating system is considered to be well calibrated if the default probabilities applied do not deviate at all or only insignificantly from the default rate that will occur. In the course of Basel II, calibration is methodically prescribed or recommended. – In a broader sense, calibration also includes the inclusion of other risk factors, such as the loss rate and the amount of the loan at the time of default. – See probability of default, rating, discriminatory power, validation. – Cf. Deutsche Bundesbank Monthly Report of April 2001, p. 29 f., Deutsche Bundesbank Monthly Report of September 2003, p. 64 f., BaFin Annual Report 2003, p. 37, Deutsche Bundesbank Monthly Report of September 2004, p. 80 ff. (p. 93: overview of minimum requirements under Basel II), Deutsche Bundesbank Monthly Report of June 2006, p. 35 ff. (broad, summary presentation with overviews).
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