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Nematrian Reference Library

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ReferenceTitleLink
Sobehart, J., Keenan, S. and Stein, R. (2001)Benchmarking Quantitative Default Risk Models: A Validation Methodologyhere

Abstract

"As a leader in credit risk assessment, Moody’s has also been active in developing and testing quantitative methods that can be used for credit risk management. This article presents a summary of the approach Moody’s used to validate and benchmark a series of popular quantitative default risk models, including our own Public Firm model. We discuss performance measurement and sampling techniques, as well as other practical considerations associated with performance evaluation for quantitative credit risk models. This framework specifically addresses issues of data sparseness and the sensitivity of models to changing economic conditions. Our model validation approach continues to evolve and is used extensively for evaluating internal and external quantitative models."


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