Integrating Seasonal Oscillations into Basel II Behavioural Scoring Models

Behavioural scoring models are integral parts of the Basel II standard on Internal Ratings- Based Approaches (IRB). The IRB approach much more precisely reflects individual risk bank profile. A solution of the problem of how to analyze and integrate macroeconomic and microeconomic factors represented in time series into behavioural scorecard models are shown by using the REF II model.