MCMRF: Credit Market Research Grants

Sponsor: Moody’s Credit Markets Research Fund (MCMRF)

Moody's Corporation is the parent company of Moody's Investors Service, a leading provider of credit ratings, research and analysis covering debt instruments and securities in the global capital markets, and Moody's KMV, a credit risk management technology firm serving the world's largest financial institutions. The corporation employs approximately 2,500 people in 19 countries.

Moody’s Credit Markets Research Fund is committed to providing resources to distinguished researchers engaged in innovative research projects of general interest to the academic and professional finance communities. Recognizing the importance of education as critical to the success of our business and the public in general, our goal in establishing this fund is to facilitate the implementation and publication of new research and in so doing extend the knowledge and literature of the broader finance community.

Topics of interest to the committee include research on:

• Credit risk and analysis
   

• Default risk
   

• Asset valuation
   

• Capital and credit markets
   

• Market microstructure
   

• Derivatives (especially credit derivatives)
   

• Regulatory practices
   

• Econometric and statistical methods for credit analytics
   

• Portfolio theory
   

• Performance attribution

Topics of some of the research projects approved in 2005

• "Credit Risk, Credit Derivatives and Convertible Risk Research";
   

• "Fast Calculation of Prices and Sensitivities for Basket Default Swaps and Collateralized Debt Obligations";
   

• "Frailty-Based Analysis of Portfolio Default Risk"
   

• "Long-Term Corporate Bond Data Set"
   

• "A Correlation Bridge Between Structural Models and Reduced Form Models for Multiname Credit Derivatives"
   

• "SME Credit Scoring and its Accuracy in Japan".

Amount: Moody’s CMRF Awards are $25,000 net of university administrative fees. Exceptions will be made at the Grant Committee’s discretion.

Deadline: Applications are accepted at any time and are reviewed quarterly

For further information, please visit: http://philanthropy.moodys.com/page.asp?template=guidelines&context=cmr§ion=cmr