Roger M. Stein

10^th Most Popular Author in DefaultRisk.com

Moody's Investors Service
99 Church Street
New York, NY 10007
USA

• New York University, Ph. D. (Pattern Discovery and Simulation Methods for Evaluating Stop-loss Based Risk Control Strategies in Futures Trading Systems -- 1999)
• With Moody's since 1989, Stein currently heads Moody's development of quantitative and predictive models in credit analysis. Prior to that he worked rating CBOs and other structured transactions and developing various quantitative methodologies for a number of credit applications at Moody's. Stein lectures frequently at the NYU Stern School of Business, has published numerous articles and chaired academic and professional conferences on quantitative modeling and data mining. His recent research emphasis includes methodologies for validating the predictive power of quantitative credit models. He speaks Japanese (and English) and has studied a number of other languages.
• Stein is the co-author of Seven Methods for Transforming Corporate Data into Business Intelligence (Prentice Hall). It is considered to be one of the leading books on applied data mining and is taught as a core text at a number of major universities.

Publications: that are posted on DefaultRisk.com & MoodysKMV.com

Recovery Rates

LossCalc v2: Dynamic Prediction of LGD
by Greg M. Gupton of Moody's|KMV, and
Roger M. Stein of Moody's|KMV
(1,187K PDF) -- 44 pages -- January 2005

LossCalc™: Moody's Model for Predicting Loss Given Default (LGD)
by Greg M. Gupton of Moody's Investors Service, and
Roger M. Stein of Moody's Investors Service
(1,189K PDF) -- 32 pages -- February 2002

A Matter of Perspective
by Greg M. Gupton of Moody's Investors Service, and
Roger M. Stein of Moody's Investors Service
(809K PDF) -- 4 pages -- November 2001

Model Testing / Stress Testing

Stein, Roger M., "Benchmarking Default Prediction Models: Pitfalls and Remedies in Model Validation", Journal of Risk Model Validation, Vol. 1, No. 1, (Spring 2007), pp. 77-113. [Abstract]

Evidence on the Incompleteness of Merton-type Structural Models for Default Prediction
by Roger M. Stein of Moody's|KMV
(184K PDF) -- 11 pages -- February 9, 2005

ARE THE PROBABILITIES RIGHT?
A First Approximation to the Lower Bound on the Number of Observations Required to Test for Default Rate Accuracy
by Roger M. Stein of Moody's Investors Service
(567K PDF) -- 17 pages -- May 22, 2003

Credit Scoring

The Moody's KMV EDF™ RiskCalc™ v3.1 Model Next-Generation Technology for Predicting Private Firm Credit Risk
by Douglas W. Dwyer of Moody's KMV,
Ahmet E. Kocagil of Moody's KMV, and
Roger M. Stein of Moody's KMV
(280K PDF) -- 36 pages -- April 5, 2004

Systematic and Idiosyncratic Risk in Middle-Market Default Prediction: A Study of the Performance of the RiskCalc™ and PFM™ Models
by Roger M. Stein of Moody's|KMV,
Ahmet E. Kocagil of Moody's|KMV,
Jeff Bohn of Moody's|KMV, and
Jalal Akhavein of Moody's|KMV
(3,583K PDF) -- 40 pages -- February 2003

Moody's RiskCalc™ for Private US Banks
by Ahmet E. Kocagil of Moodys|KMV,
Alexander Reyngold of Moody's|KMV
Roger M. Stein of Moody's|KMV, and
Eduardo Ibarra of Moody's|KMV
(666K PDF) -- 28 pages -- July 2002

Other

Better Predictions of Income Volatility Using a Structural Default Model
by Roger M. Stein of Moody's Investors Service, and
Felipe Jordão of Moody's Investors Service
(787K PDF) -- 29 pages -- November 26, 2005

The Relationship Between Default Prediction and Lending Profits: Integrating ROC analysis and loan pricing
by Roger M. Stein of Moody's KMV
(359K PDF) -- 24 pages -- May 2005

What is a More Powerful Model Worth?
by Roger M. Stein of Moody's KMV, and
Felipe Jordão of Moody's KMV
(211K PDF) -- 19 pages -- November 13, 2003

Inferring the Default Rate in a Population by Comparing Two Incomplete Default Databases
by Douglas W. Dwyer of Moody's|KMV, and
Roger M. Stein of Moody's|KMV
(309K PDF) -- 13 pages -- March 27, 2003

Books:

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