论文信息 - Credit Risk Models – Do They Deliver Their Promises? A Quantitative Assessment

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

M. Dacorogna | G. Oderda | T. Jung

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