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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26767
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| Title: | Revisiting Credit Scoring Models in a Basel 2 Environment |
| Authors: | Altman, Edward I. |
| Keywords: | Credit Risk Models
Default Probabilities
Basel 2
Z-Score
KMV |
| Issue Date: | May-2002 |
| Series/Report no.: | S-CDM-02-06 |
| Abstract: | This paper discusses two of the primary motivating influences on the
recent development/revisions of credit scoring models, i.e., the
important implications of Basel 2’s proposed capital requirements
on credit assets and the enormous amounts and rates of defaults and
bankruptcies in the US in 2001-2002. Two of the more prominent credit
scoring techniques, Z-Score and KMV’s EDF models, are reviewed.
Finally, both models are assessed with respect to default probabilities
in general and in particular to the infamous Enron debacle. In order to
be effective, these and other credit risk models should be utilized by
firms with a sincere credit risk culture. |
| URI: | http://hdl.handle.net/2451/26767 |
| Appears in Collections: | Credit & Debt Markets
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