NUS-RMI Credit Research Initiative Technical Report Version: 2012 update 2

Oliver Chen

Chapter 7 in Global Credit Review:Volume 2, 2012, pp 109-167 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONMODEL DESCRIPTIONModeling FrameworkModel CalibrationINPUT VARIABLES AND DATAInput VariablesData SourcesConstructing Input VariablesData for DefaultsIMPLEMENTATION DETAILSData TreatmentDistance-to-Default ComputationCalibrationDaily OutputEMPIRICAL ANALYSISParameter EstimatesPrediction AccuracyONGOING DEVELOPMENTSREFERENCESAPPENDIX AAPPENDIX B: PERFORMANCE ANALYSIS

Keywords: Credit Ratings; Credit Risk; Credit Markets; Financial Regulation; Financial Markets; European Sovereign Crisis (search for similar items in EconPapers)
Date: 2012
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