ARC Discovery Project
The predictive, behavioural and economic forecasting performance of alternative credit risk and bankruptcy models: a global study
Prof Stewart Jones; Prof David J Johnstone; Dr Maurice Peat
This study empirically evaluates a range of "new age" credit risk models using a large global sample of failed firms and bond ratings data. The study will provide a substantive body of empirical evidence to assist regulators, creditors, investors and other users assess the merits, strengths and limitations of alternative risk modelling approaches.