Battle of the supermodels

The Tequila crisis, the Asian financial crisis, Brazil, Russia, Enron... it seems most large credit events are followed by critical post mortems on the effectiveness of credit rating agencies. Investors seeking better default indicators than produced by rating analysts have turned to a variety of sources, not least of which is the family of so-called Merton model tools, perhaps the most well known of which is KMV’s.

In the past year, the rating agencies have fought back. In particular, Moody’s

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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