Benchmarking Quantitative Default Risk Models: A Validation Methodology

By J. Soběhart, S. Keenan, Roger M. Stein. 2000

222 citations recorded by the source corpus.

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Measuring the Discriminative Power of Rating Systems (2003, methodology): “A detailed explanation of this method can be found in Sobehart, Keenan, and Stein (2000) .”
Bankruptcy Prediction by Generalized Additive Models (2006, methodology): “All models are developed using the same explanatory variables, and we follow the validation methodology that is referred to as out-of-sample and out-of-time validation in Sobehart et al. (2000).”
Why Do Firms Use Private Equity to Opt Out of Public Markets (2010, methodology): “ROC curves have been used in the default risk literature to assess the quality of bankruptcy prediction models (Sobehart, Keenan, and Stein (2000)).”
Mitigating the pro-cyclicality of basel II (2010, unknown): “For references on these performance statistics see, for example, Sobehart et al. (2000), Sobehart and Keenan (2001), and Engelmann et al. (2003).”
Performance of default-risk measures: the sample matters (2020, methodology): “An alternative to using the above-mentioned measures of default risk is to construct a measure using the market share prices of firms, as in Moody’s KMV model, Vassalou and Xing (2004), Byström et al.”
Discriminatory Power - An Obsolete Validation Criterion? (2008, methodology): “Detailed explanations how one should use these methods in a validation context can be found in Sobehart et al. (2000).”