Predicting Default – Moody’s, Merton, Logit – which is more accurate?
This thesis aims to investigate if Moody’s is more accurate than logistic regression and the Merton model in predicting default by firms issuing corporate debt after the financial crisis. This is achieved by comparing the Expected Default Probabilities (EDPs) in Moody’s migration table published in their annual default study reports against the calculated EDPs from logistic regression and the Mert