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