Abstract

http://ssrn.com/abstract=236011
 
 

References (97)



 
 

Citations (9)



 


 



RiskCalc for Private Companies: Moody's Default Model


Eric G. Falkenstein


Pine River Capital Management

Andrew Boral


Moody's Investors Service

Lea V. Carty


Moody's Investors Service


As published in Global Credit Research, May 2000

Abstract:     
This paper explains and documents many issues related to default prediction based on financial statements. The underlying methodology is completely revealed and addresses many important practicalities in empirical default estimation. Test statistics are also provided on various models using our proprietary, and unprecedently large database of US and Canadian firms. We outline the current context of these tools in the banking industry, and describe several popular modeling choices. A chapter on variable selection illustrates the dominance of various financial statements (e.g., liabilities/assets vs. liabilities/tangible assets). This approach represents how one of the best-known credit companies is approaching quantitative models at the outset of an international effort to provide credit benchmarks for middle market companies.

Number of Pages in PDF File: 88

Keywords: Default, private firm, default model, default prediction

JEL Classification: G33, M41

Accepted Paper Series





Download This Paper

Date posted: November 1, 2000  

Suggested Citation

Falkenstein, Eric G. and Boral, Andrew and Carty, Lea V., RiskCalc for Private Companies: Moody's Default Model. As published in Global Credit Research, May 2000. Available at SSRN: http://ssrn.com/abstract=236011 or http://dx.doi.org/10.2139/ssrn.236011

Contact Information

Eric G. Falkenstein (Contact Author)
Pine River Capital Management ( email )
601 Calson Parkway, Suite 330
Minnetonka, MN 55347
United States
6123091588 (Phone)
6123091588 (Fax)
Andrew Boral
Moody's Investors Service ( email )
99 Church Street
New York, NY 10007
United States
Lea Carty
Moody's Investors Service ( email )
99 Church Street
New York, NY 10007
United States
Feedback to SSRN


Paper statistics
Abstract Views: 6,103
Downloads: 1,993
Download Rank: 3,644
References:  97
Citations:  9

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.282 seconds