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; Actuarial Studies
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Denzler, Stefan M. & Dacorogna, Michel M. & Muller, Ulrich A. & McNeil, Alexander J., 2006. "From default probabilities to credit spreads: Credit risk models do explain market prices," Finance Research Letters, Elsevier, vol. 3(2), pages 79-95, June.
- Nidhi Aggarwal & Manish Singh & Susan Thomas, 2012. "Do changes in distance-to-default anticipate changes in the credit rating?," Working Papers 2012-010, Madras School of Economics,Chennai,India.
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