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 |
| _version_ | 1797916313092358144 |
|---|---|
| author | Adithi Ramesh C.B Senthil Kumar |
| author_facet | Adithi Ramesh C.B Senthil Kumar |
| author_sort | Adithi Ramesh |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-10T12:55:21Z |
| format | Article |
| id | doaj.art-bb221574e9ad42779a6a1e0d74c9d93e |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T12:55:21Z |
| publishDate | 2017-09-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-bb221574e9ad42779a6a1e0d74c9d93e2023-02-15T16:13:32ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382017-09-01736096121032Structure and Intensity Based Approach in Credit Risk Models: A Literature ReviewAdithi RameshC.B Senthil KumarCredit 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.https://dergipark.org.tr/tr/pub/ijefi/issue/32021/354306?publisher=http-www-cag-edu-tr-ilhan-ozturkcredit risks defaults weiner process volatility |
| spellingShingle | Adithi Ramesh C.B Senthil Kumar Structure and Intensity Based Approach in Credit Risk Models: A Literature Review International Journal of Economics and Financial Issues credit risks defaults weiner process volatility |
| title | Structure and Intensity Based Approach in Credit Risk Models: A Literature Review |
| title_full | Structure and Intensity Based Approach in Credit Risk Models: A Literature Review |
| title_fullStr | Structure and Intensity Based Approach in Credit Risk Models: A Literature Review |
| title_full_unstemmed | Structure and Intensity Based Approach in Credit Risk Models: A Literature Review |
| title_short | Structure and Intensity Based Approach in Credit Risk Models: A Literature Review |
| title_sort | structure and intensity based approach in credit risk models a literature review |
| topic | credit risks defaults weiner process volatility |
| url | https://dergipark.org.tr/tr/pub/ijefi/issue/32021/354306?publisher=http-www-cag-edu-tr-ilhan-ozturk |
| work_keys_str_mv | AT adithiramesh structureandintensitybasedapproachincreditriskmodelsaliteraturereview AT cbsenthilkumar structureandintensitybasedapproachincreditriskmodelsaliteraturereview |