10. Credit Risk Models Based upon Accounting Data and Market Values

  1. John B. Caouette,
  2. Edward I. Altman,
  3. Paul Narayanan and
  4. Robert Nimmo

Published Online: 29 NOV 2011

DOI: 10.1002/9781118266236.ch10

Managing Credit Risk: The Great Challenge for the Global Financial Markets, Second Edition

Managing Credit Risk: The Great Challenge for the Global Financial Markets, Second Edition

How to Cite

Caouette, J. B., Altman, E. I., Narayanan, P. and Nimmo, R. (2008) Credit Risk Models Based upon Accounting Data and Market Values, in Managing Credit Risk: The Great Challenge for the Global Financial Markets, Second Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118266236.ch10

Publication History

  1. Published Online: 29 NOV 2011
  2. Published Print: 2 MAY 2008

ISBN Information

Print ISBN: 9780470118726

Online ISBN: 9781118266236

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Keywords:

  • credit risk models;
  • souseholds;
  • market values;
  • accounting data;
  • U.S. government

Summary

This chapter contains sections titled:

  • Human Expert Systems and Subjective Analysis

  • Accounting-Based Credit Scoring Systems

  • From Univariate to Multivariate Methods

  • Altman's Z-Score Model (1968)

  • Z-Scores and Bond Ratings

  • Private Firm Z′-Score Model

  • Nonmanufacturers Z″-Score Model

  • Emerging Market Scoring Model and Process

  • Zeta® Credit Risk Model

  • Classification Accuracy

  • Group Prior Probabilities, Error Costs, and Model Efficiency

  • Adjustments to the Cutoff Score and Practical Applications

  • Stability of the Ratios in Zeta®

  • Reestimation of Coefficients

  • Altman and Sabato SME Model

  • Riskcalc® Model by Moody's KMV

  • Standard & Poor's Creditmodel® (2003)

  • Bondscore® Model

  • Deployment of Z-Score, Zeta®, Risccalc®, Creditmodel®, Credit Risk Tracker® and Bondscore® Models

  • Limitations of Multivariate Models

  • Neural Networks

  • Expert Systems

  • Models based on Market Risk Premiums

  • Mortality Models