I have to calculate probability of default (PD) rates for our clients (I am working in a Bank) based on clients' financials. Could you, please, advise me how to do that?
I think we have two Options: 1. Calculate PDs for each client based on their financial Statements, 2. We have internal ratings (again based on financials) that we are using for assessment of the clients, and we can calculate PD for every internal rating.
Could you please advise, is it possible to do that with one of the above-mentioned Options and how?
Thanks in advance,