文章基本信息

标题：Structure and Intensity Based Approach in Credit Risk Models: A Literature Review
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作者：Adithi Ramesh ; C.B Senthil Kumar
期刊名称：International Journal of Economics and Financial Issues
电子版ISSN：2146-4138
出版年度：2017
卷号：7
期号：3
页码：609-612
语种：English
出版社：EconJournals
摘要：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, E51
其他摘要：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, E51