Structure and Intensity Based Approach in Credit Risk Models: A Literature Review
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 prov...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
EconJournals
2017-09-01
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Series: | International Journal of Economics and Financial Issues |
Subjects: | |
Online Access: | https://dergipark.org.tr/tr/pub/ijefi/issue/32021/354306?publisher=http-www-cag-edu-tr-ilhan-ozturk |
Summary: | 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. |
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ISSN: | 2146-4138 |