A critique of credit risk models with evidence from mid-cap firms
Abstract
High bank failures and the significant credit problems faced by banks during the global financial crisis (GFC) are a stark reminder of the importance of accurately measuring and providing for a credit risk. There are a variety of available credit modeling techniques, leaving banks faced with the dilemma of deciding which model to choose. This article examines three widely used categories of models across a 10-year period spanning the global financial crisis (GFC) as well as pre-GFC and post-GFC in order to determine their relative advantages and disadvantages over different economic conditions. The comparison includes ratings-based models, accounting models, and structural models.
Document Type
Book Chapter
Date of Publication
2015
Location of the Work
Hoboken
Faculty
Faculty of Business and Law
Publisher
John Wiley and Sons Ltd
School
School of Business
RAS ID
20125
Copyright
subscription content
Comments
Allen, D. E., Powell, R. J., & Singh, A. K. (2015). A critique of credit risk models with evidence from mid-cap firms. In Quantitative Financial Risk Management: Theory and practice (pp. 296-311). Hoboken: John Wiley & Sons Inc.Available here