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Please use this identifier to cite or link to this item: http://hdl.handle.net/2451/27176

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-FI-02-11
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/2451/27176
Appears in Collections:Financial Institutions

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