CreditGrades Technical Document
Research Paper
May 1, 2002
Preview
The model is a straightforward, practical application of the structural model for credit risk that has been used for a number of years by a variety of credit market participants. In designing the model, the authors of this document have made assumptions so as to relate relevant model parameters to market observables. It is the hope of the four institutions involved in the project -- Deutsche Bank, Goldman Sachs, JPMorgan and RiskMetrics Group -- that by documenting the details of the model here and by providing access to model outputs at www.creditgrades.com, we create a standard of transparency in the credit markets.
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