February 2011
Intermediate to advanced
360 pages
10h 2m
English
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Contents
Some Hints for Troubleshooting
1 Estimating Credit Scores with Logit
Linking scores, default probabilities and observed default behavior
Estimating logit coefficients in Excel
Computing statistics after model estimation
Interpreting regression statistics
Prediction and scenario analysis
Treating outliers in input variables
Choosing the functional relationship between the score and explanatory variables
2 The Structural Approach to Default Prediction and Valuation
Default and valuation in a structural model
Implementing the Merton model with a one-year horizon
A solution using equity values and equity volatilities
Implementing the Merton model with a T -year horizon
Obtaining a generator matrix from a given transition matrix
Confidence intervals with the binomial distribution
Bootstrapped confidence intervals for the hazard approach
4 Prediction of Default and Transition Rates
Candidate variables for prediction
Predicting investment-grade default rates with linear regression
Predicting investment-grade default rates with Poisson regression
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