SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
Minerva86
Topic Author
Posts: 1
Joined: May 5th, 2010, 6:53 pm

Credit default risk for small/medium sized firms

October 13th, 2010, 8:51 pm

Hello I am currently on a project to develop a forecasting model for the credit default probability of firms which are not listed on the stock exchange.Basically, the bank has given out (big) loans to companies and tracked a lot of information on these firms over time. With the financial crisis, some of these credits/firms have defaulted, and others have not. Now, I want to find out if the figures collected can be used to predict defaults (to some extent).I am not too sure about how to approach this problem. I tried to research some basic papers to start from, but everything I found was for firms listed on the stock exchange, consumer lending and scoring models, in which I am not interested. I was considering a logit/probit approach which seems an obvious choice, but I could find no papers on it, and as far as I know, there may be far better ideas out there. If anybody here knows an interesting paper or book that could help me, I would be extremely thankful!Thank you and enjoy your day Minerva
 
User avatar
dvl84
Posts: 14
Joined: July 6th, 2010, 1:01 pm

Credit default risk for small/medium sized firms

October 19th, 2010, 2:20 pm

Can't really help but I guess Logit/Probit is the most logical step to take. There are loads of books/papers about Logit/Probit models in general.
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On