Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment
AbstractWe develop a framework to assess the statistical significance of expected default frequency calculated by credit risk models. This framework is then used to analyse the quality of two commercially available models that have become popular among practitioners: KMV Credit Monitor and RiskCalc from Moody's. Copyright Banca Monte dei Paschi di Siena SpA, 2003
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Bibliographic InfoArticle provided by Banca Monte dei Paschi di Siena SpA in its journal Economic Notes.
Volume (Year): 32 (2003)
Issue (Month): 2 (07)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0391-5026
Other versions of this item:
- Michel Dacorogna & Gianluca Oderda & Tobias Jung, 2003. "Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment," Risk and Insurance 0306003, EconWPA.
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies
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