CORPORATE CREDIT RISK MODELING: …

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CORPORATE CREDIT RISK MODELING: QUANTITATIVE RATING SYSTEM AND PROBABILITY OF DEFAULT ESTIMATION Jo o Eduardo Fernandes1 April 2005 (Revised October 2005) ABSTRACT: Research on CORPORATE CREDIT risk modeling for privately-held firms is limited, although these firms represent a large fraction of the CORPORATE sector worldwide. Research in this area has been limited because of the lack of public data. This study is an empirical application of CREDIT scoring and rating techniques to a unique dataset on private firms bank loans of a Portuguese bank. Several alternative scoring methodologies are presented, validated and compared. Furthermore, two distinct strategies for grouping the individual scores into rating classes are developed.

CORPORATE CREDIT RISK MODELING: QUANTITATIVE RATING SYSTEM AND PROBABILITY OF DEFAULT ESTIMATION João Eduardo Fernandes1 April …

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