Credit Risk Models: Why They Failed in the Credit Crisis
JASSA The FINSIA Journal of Applied Finance Special Issue 2008
6 Pages Posted: 17 Feb 2014
Date Written: July 1, 2008
Credit risk models have played a key part in the global credit crisis. The main shortcomings of these models are examined and a new causal framework is proposed to build deductive credit default models that have predictive capabilities.
Keywords: credit risk, default, crisis
JEL Classification: B40, C60, E51, G13, G33
Suggested Citation: Suggested Citation