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CreditGrades™ Technical Document
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723 KB |
| This document is the technical discussion of the
CreditGrades model for quantitative credit assessment. The model is
a straightforward, practical application of the structural model
for credit risk that has been used for a number of years by a
variety of credit market participants. In designing the model, the
authors of this document have made assumptions so as to relate
relevant model parameters to market observables. It is the hope of
the four institutions involved in the project – Deutsche Bank,
Goldman Sachs, JPMorgan and RiskMetrics Group – that by
documenting the details of the model here and by providing access
to model outputs at www.creditgrades.com, we create a
standard of transparency in the credit markets. |
| Download this document: CreditGrades
Technical Document 723 KB |
| May, 2002<
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