Credit Risk Models: Why They Failed in the Credit Crisis

Sy, Wilson N.

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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

See all articles by Wilson N. Sy

Wilson N. Sy

Investment Analytics Research

Date Written: July 1, 2008

Abstract

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

Sy, Wilson N., Credit Risk Models: Why They Failed in the Credit Crisis (July 1, 2008). JASSA The FINSIA Journal of Applied Finance Special Issue 2008, Available at SSRN: https://ssrn.com/abstract=2396994