Credit Risk Modeling and Valuation: An Introduction

67 Pages Posted: 21 Dec 2003

See all articles by Kay Giesecke

Kay Giesecke

Stanford University - Department of Management Science & Engineering

Date Written: June 23, 2004

Abstract

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

Suggested Citation

Giesecke, Kay, Credit Risk Modeling and Valuation: An Introduction (June 23, 2004). Available at SSRN: https://ssrn.com/abstract=479323 or http://dx.doi.org/10.2139/ssrn.479323

Kay Giesecke (Contact Author)

Stanford University - Department of Management Science & Engineering ( email )

475 Via Ortega
Stanford, CA 94305
United States
(650) 723 9265 (Phone)
(650) 723 1614 (Fax)

HOME PAGE: http://https://giesecke.people.stanford.edu

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
7,480
Abstract Views
19,387
rank
1,071
PlumX Metrics