This paper employs non-parametric specification tests developed in Hong and Li (2005) to evaluate several one-factor reduced-form credit risk models for actual default intensities. Using estimates for actual default probabilities provided by Moody’s KMV from 1994 to 2005 for 106 U.S. firms in...

Los sistemas de evaluación del crédito desarrollados internamente por los bancos centrales nacionales (ICAS) son una fuente importante de valoración del riesgo de crédito dentro del marco de los activos de garantía de política monetaria del Eurosistema. En particular, los ICAS permiten que...

The mean residual life function (mrlf) of a subject is defined as the expected remaining (residual) lifetime of the subject given that the subject has survived up to a given time point. It is well known that under mild regularity conditions, an mrlf determines the probability distribution...