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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26762
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| Title: | CORPORATE DISTRESS PREDICTION MODELS IN A TURBULENT ECONOMIC AND BASEL
II ENVIRONMENT |
| Authors: | Altman, Edward I. |
| Keywords: | Credit Risk Models
Default Probabilities
Basel II
Z-Score
KMV |
| Issue Date: | Sep-2002 |
| Series/Report no.: | S-CDM-02-11 |
| Abstract: | This paper discusses two of the primary motivating influences on the
recent development/revisions of credit scoring models, - the important
implications of Basel II’s proposed capital requirements on credit
assets and the enormous amounts and rates of defaults and bankruptcies
in the United States in 2001-2002. Two of the more prominent credit
scoring techniques, our Z-Score and KMV’s EDF models, are
reviewed. Both models are assessed with respect to default probabilities
in general and in particular to the infamous Enron and WorldCom debacles
in particular. In order to be effective, these and other credit risk
models should be utilized by firms with a sincere credit risk culture,
observant of the fact that they are best used as an additional tool, not
the sole decision making criteria, in the credit and security analyst process. |
| URI: | http://hdl.handle.net/2451/26762 |
| Appears in Collections: | Credit & Debt Markets
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