Corporate Credit Scoring Models for U.S. and Global Credit ...
Corporate Credit Scoring Models for U.S. and Global Credit Markets
Corporate Bankruptcy & Reorganization FINC-GB.3198.01 Fall 2016
Dr. Edward Altman NYU Stern School of Business
1
Scoring Systems
? Qualitative (Subjective)
? Univariate (Accounting/Market Measures)
? Multivariate (Accounting/Market Measures)
? Discriminant, Logit, Probit Models (Linear, Quadratic) ? Non-Linear Models (e.g.., RPA, NN)
? Discriminant and Logit Models in Use
? Consumer Models - Fair Isaacs ? Z-Score (5) - Manufacturing ? ZETA Score (7) - Industrials ? Private Firm Models (eg. Risk Calc (Moody's), Z" Score) ? EM Score (4) - Emerging Markets, Industrial ? Other - Bank Specialized Systems
2
Scoring Systems
(continued)
? Artificial Intelligence Systems
? Expert Systems ? Neural Networks (eg. Credit Model (S&P), CBI (Italy))
? Option/Contingent Claims Models
? Risk of Ruin ? KMV Credit Monitor Model
? Blended Ratio/Market Value Models
? Moody's Risk Cal ? Bond Score (Credit Sights) ? Z-Score (Market Value Model)
? Z-Metrics (MSCI)
? Blended and Macro Approach
3
Major Agencies Bond Rating Categories
Moody's
S&P /F itc h
Aaa
AAA
Aa1
AA+
Aa2
AA
Aa3
AA-
A1
A+
A2
A
A3
A-
Baa1
BBB+
Baa2 Investment BBB
Baa3
Grade BBB-
Ba1 High Yield BB+
Ba2
("Junk") BB
Ba3
BB-
B1
B+
B2
B
B3
B-
Caa1
CCC+
Caa
CCC
Caa3
CCC-
Ca
CC
C
C
D
4
Size of the US High-Yield Bond Market
$ (Billions)
$1,800 $1,600 $1,400 $1,200 $1,000
$800 $600 $400 $200
$-
1978 ? 2016 (Mid-year US$ billions)
$1,656
1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Source: NYU Salomon Center estimates using Credit Suisse, S&P and Citi data.
5
................
................
In order to avoid copyright disputes, this page is only a partial summary.
To fulfill the demand for quickly locating and searching documents.
It is intelligent file search solution for home and business.
Related download
- santander consumer usa holdings inc
- j p m o r g a n c h a s e s t r at e g i c u p d at e
- frontline lender relationships not rates key to auto
- loan discrimination at the auto dealership current cases
- taxpayers continue to own 74 of gmac rebranded as ally
- routeone list of active finance sources
- the use of credit scoring models and the importance of a
- corporate credit scoring models for u s and global credit
Related searches
- u s department of education reports
- u s department of education website
- u s department of education accreditation
- u s department of treasury
- u s treasury bond calculator
- u s bank credit cards
- u s bank credit card account
- u s treasury rates and bonds
- the u s constitution and amendments
- u s bank business credit card
- treatment for alzheimer s and dementia
- colorado and u s constitution article 5