English, Article, Journal or magazine article edition: Credit risk models: why they failed in the credit crisis Wilson Sy

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Bookmark: http://trove.nla.gov.au/version/95
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Credit risk models: why they failed in the credit crisis
Author
  • Wilson Sy
Physical Description
  • preprint
Notes
  • Abstract: Credit risk models are shown to play a key part in the global credit crisis. We discuss how the credit market has exposed the shortcomings of the credit risk models and we identify their main shortcomings. To overcome the shortcomings, a new causal framework is proposed to build deductive credit default models which have predictive capabilities.
  • RePEc:apr:aprewp:wp2008-03
Language
  • English
Contributed by
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