Structure and Intensity Based Approach in Credit Risk Models: A Literature Review
Abstract
Credit Risk modeling has been a subject of considerable research interest for finance and statistical researchers. The quantification of credit risk by assigning measurable and comparable numbers to the likelihood of default or spread risk is a major frontier in modern finance. In this paper we provide a literature review of credit risk models including both structural and intensity based approaches. Our focus is placed on probability of default and hazard rate of time to default.Keywords: Credit Risks, Defaults, Weiner process, volatility.JEL Classifications: C58, E51Downloads
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Published
2017-06-29
How to Cite
Ramesh, A., & Kumar, C. S. (2017). Structure and Intensity Based Approach in Credit Risk Models: A Literature Review. International Journal of Economics and Financial Issues, 7(3), 609–612. Retrieved from https://econjournals.com.tr/index.php/ijefi/article/view/4721
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