Credit risk modeling and valuation: An introduction

Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities. We consider individual as well as correlated credit risks.

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Year of publication:	2002
Authors:	Giesecke, Kay
Publisher:	Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Subject:	compensator \| intensity \| credit risk \| default risk \| structural approach \| reduced form approach

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Series:	SFB 373 Discussion Paper ; 2002,54
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	726807109 [GVK] hdl:10419/65371 [Handle] RePEc:zbw:sfb373:200254 [RePEc]
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010310593