Credit Risk Modeling and Valuation: An Introduction
67 Pages Posted: 21 Dec 2003
Date Written: June 23, 2004
Credit risk is the distribution of financial losses due to unexpected changes in the credit quality of a counterparty in a financial agreement. We review the structural, reduced form and incomplete information approaches to estimating joint default probabilities and prices of credit sensitive securities.
Keywords: credit risk, default risk, structural approach, reduced form approach, incomplete information approach, trend, intensity, compensator
JEL Classification: G13
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