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Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment

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Author Info
Gianluca Oderda
Michel M. Dacorogna
Tobias Jung

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Abstract

We 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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Article provided by Banca Monte dei Paschi di Siena SpA in its journal Economic Notes.

Volume (Year): 32 (2003)
Issue (Month): 2 (07)
Pages: 177-195
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Handle: RePEc:bla:ecnote:v:32:y:2003:i:2:p:177-195

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  1. Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
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This page was last updated on 2008-7-16.

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