[BOOK][B] Aggregate and firm-level measures of systemic risk from a structural model of default
A Reyngold, K Shnyra, RM Stein - 2015 - rogermstein.com
The breadth and dynamics of the recent financial crisis have led to efforts to develop forward-looking
tools to monitor systemic risk. In this paper we propose a new measure which is an …
tools to monitor systemic risk. In this paper we propose a new measure which is an …
[PDF][PDF] Special Report Fitch CDS Implied Ratings (CDS-IR) Model
A Reyngold, AE Kocagil, GM Gupton, J DiGiambattista - academia.edu
The Fitch CDS-IR model is an empirical, data intensive model that is based on Credit
Default Swap (CDS) prices. The CDS market is the purest and most responsive indicator of …
Default Swap (CDS) prices. The CDS market is the purest and most responsive indicator of …
A credit risk management model for a portfolio of low-income consumer loans in Mexico
JA Jiménez Montesinos - 2014 - dspace.mit.edu
… Alexander Reyngold without whom the present research could have not being possible. I …
Reyngold's valuable time to solve my questions and help me understand the economics …
Reyngold's valuable time to solve my questions and help me understand the economics …
[PDF][PDF] Validating default models when the validation data are corrupted: Analytic results and bias corrections
RM Stein - rogermstein.com
… Alex Reyngold and Ksenia Shnyra for detailed comments on earlier drafts of this paper. I
am also grateful to Lisa Goldberg, who read several early versions of this paper and provided …
am also grateful to Lisa Goldberg, who read several early versions of this paper and provided …
[PDF][PDF] Moody's RiskCalc™ Model for Privately-Held
US Banks - ENTERPRISE RISK, 2002 - rogermstein.com
This report documents RiskCalc for US Banks, Moody’s model for estimating the probability
of default (PD) for privately-held US banks, thrifts, and bank holding companies. RiskCalc for …
of default (PD) for privately-held US banks, thrifts, and bank holding companies. RiskCalc for …
[CITATION][C] Moody's riskcalcTM model for privately-held US banks
AE Kocagil, A Reyngold, RM Stein, E Ibarra - Moody's Investors Service, Global Credit …, 2002
[CITATION][C] Fitch CDS implied ratings (CDS-IR) model
A Reyngold, AE Kocagil, GM Gupton, J DiGiambattista - … Financial Research Special …, 2007
[CITATION][C] Moody's RiskCalcTM for Private Companies: Korea
A Kocagil, A Reyngold - Rating Methodology, 2003
[CITATION][C] RISKCALCTM SINGAPORE
A Kocagil, A Reyngold, J Vasko, S Ishii, D Bren
[CITATION][C] Fitch CDS Implied Ratings (CDS-IR) model
G Gupton, AE Kocagil, A Reyngold - Fitch, Inc, 2007