Credit Models and Debt Rating

John Cox, MIT
Sanjiv Das, Santa Clara University
Gifford Fong, Fong Associates
John Hull, University of Toronto
Robert Jarrow, Cornell
Bruce Lehmann, University of California, San Diego
Bob Merton, MIT
Henry Shilling, Moody’s
Roger Stein, Moody’s (Chair)

Specific Questions to be Addressed

  • What are the appropriate credit models for the megafund business model?
  • What inputs do we need from scientists to improve these models?
  • How will debt-rating agencies respond to these new securities?
  • How well can we expect these models to perform and how can we improve them based on scientific knowledge and accumulated experience?