type="main" xml:lang="en" <p>Estimates of daily volatility are investigated. Realized volatility can be computed from returns observed over time intervals of different sizes. For simple statistical reasons, volatility estimators based on high-frequency returns have been proposed, but such...</p>

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...