Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment

Gianluca Oderda, Michel Dacorogna and Tobias Jung

Economic Notes, 2003, vol. 32, issue 2, pages 177-195

Abstract: 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

Date: 2003

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