Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment
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- Gianluca Oderda & Michel M. Dacorogna & Tobias Jung, 2003. "Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 32(2), pages 177-195, July.
References listed on IDEAS
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- Agarwal, Vineet & Taffler, Richard, 2008. "Comparing the performance of market-based and accounting-based bankruptcy prediction models," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1541-1551, August.
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More about this item
Keywordscredit risk models; cumulative accuracy profile; risk modeling;
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-06-25 (All new papers)
- NEP-CFN-2003-06-25 (Corporate Finance)
- NEP-CMP-2003-06-25 (Computational Economics)
- NEP-FIN-2003-06-25 (Finance)
- NEP-MAC-2003-06-25 (Macroeconomics)
- NEP-RMG-2003-06-25 (Risk Management)
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