Roger M. Stein
Moody's Research Labs
7 World Trade Center (@250 Greenwich St.)
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)
- Mr. Stein is the president of Moody's Research Labs (MRL) in New York, a subsidiary of Moody's Corp. MRL is a research and development incubator for the development of innovative financial risk analysis products and services. Stein has been actively engaged in developing new approaches to applied credit risk modeling for over 20 years. As the co-head of Moody's KMV's research and product development Stein led the development of commercial risk management tools and has worked extensively on developing techniques for model validation. Before that he led Moody's Risk Management Services' research group. He has authored dozens of professional and academic articles and serves on the editorial boards of several finance-related journals. He speaks Japanese (and English).
- Stein is the co-author Active Credit Portfolio Management in Practice (Wiley), a handbook for practitioners on applied corporate credit risk management. He also co-authored "Seven Methods for Transforming Corporate Data into Business Intelligence" (Prentice Hall - Out of print).
| Contact: | | Email address secured by Enkoder. | | Phone | +1 (212) 553-165 | | Fax | +1 (212) 298-7024 | | e-mail |
|
| External links for Roger M. Stein and his works | Official Page | "Personal" Page | SSRN  MS.Academic WorldCat VIAF.org LinkedIn DBLP Amazon RePEc BIS arXiv NBER Wikipedia Google Scholar |
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 The Role of Stress Testing in Credit Risk Management
by Roger M. Stein of the Moody's Research Labs
(272K PDF) -- 20 pages -- June 15, 2011 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. 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 Credit Some Observations on Improving a Bank's Share Value with Credit Portfolio Management, Credit-transfer Pricing and Stress Testing
by Jeffrey R. Bohn of Solition Financial Analytics, Tokyo, and
Roger M. Stein of Moody's Research Labs, Inc.
(414K PDF) -- 30 pages -- June 30, 2011 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
(168K PDF) -- 14 pages -- March 2006 The Relationship Between Default Prediction and Lending Profits: Integrating ROC analysis and loan pricing
by Roger M. Stein of Moody's KMV
(331K 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 Books: | Active Credit Portfolio Management in Practice
by Jeffrey R. Bohn and Roger M. Stein
Wiley, April 6, 2009, Hardcover, 610 pages | 
| Seven Methods for Transforming Corporate Data Into Business Intelligence
by Vasant Dhar and Roger Stein
Prentice Hall, December 1996, Hardcover, 269 pages
(Out of print.) |
[Home] [Credit Researchers] [Top Ten Most Prolific] [Top Ten Most Popular] | 
