Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment
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
Year of publication: |
2003
|
---|---|
Authors: | Oderda, Gianluca ; Dacorogna, Michel M. ; Jung, Tobias |
Published in: |
Economic Notes. - Banca Monte dei Paschi di Siena SpA. - Vol. 32.2003, 2, p. 177-195
|
Publisher: |
Banca Monte dei Paschi di Siena SpA |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Credit Risk Models -- Do They Deliver Their Promises? A Quantitative Assessment
Oderda, Gianluca, (2003)
-
Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment
Dacorogna, Michel, (2003)
-
Credit risk models : do they deliver their promises? : A quantitative assessment
Oderda, Gianluca, (2003)
- More ...