Did you predict the 37.3bn in defaults chaps? $5.3million per HOUR every HOUR for the last 300 days
The authors, members of Citigroup's Risk Architecture group, examine the benefits and limitations of two alternative classes of models for default risk assessment. The contingent claims analysis is a structural approach based on an option-theoretic view of a firm's equity and liabilities. But even CCA models often show poor power in predicting default events in precisely those cases where these models should hold strongest. By introducing additional credit information, hybrid models are able to overcome some of these limitations and increase model performance in the critical near-default region.