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| Author: | Sobehart, J. Keenan, S. |
| Title: | The score for credit |
| Journal: | Risk
2004 : FEB, VOL. 17:2, p. 54-58 |
| Index terms: | credit defaults financial models |
| Language: | eng |
| Abstract: | In this article, the writers examine the benefits and limitations of model performance measures for default and spread forecasting. The article also points out several common pitfalls in the model comparison in the literature and vendor documentation. The writers provide a comparison of model performance for a number of default risk models. |
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