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Credit risk models: why they failed in the credit crisis

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Author Info
Wilson Sy () (Australian Prudential Regulation Authority)
Abstract

Abstract: Credit risk models are shown to play a key part in the global credit crisis. We discuss how the credit market has exposed the shortcomings of the credit risk models and we identify their main shortcomings. To overcome the shortcomings, a new causal framework is proposed to build deductive credit default models which have predictive capabilities.

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File URL: http://www.apra.gov.au/RePEc/RePEcDocs/Archive/working_papers/wp2008-03.pdf
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Paper provided by Australian Prudential Regulation Authority in its series Working Papers with number wp2008-03.

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Date of creation: 10 Jul 2008
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Handle: RePEc:apr:aprewp:wp2008-03

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