Credit Risk Modelling Under the Reduced Form Approach

Credit risk is one of the most important aspects that need to be considered by financial institutions involved in credit-granting. It is defined as the risk of loss that arises from a borrower who does not make payments as promised. For modelling credit risk there are two main approaches: the structural models and the reduced form models. The purpose of this paper is to review the evolution of reduced form models from the pioneering days of Jarrow and Turnbull to present

MoreLess

Year of publication:	2012
Authors:	Cantemir, Cãlin Adrian ; Cristina, Popovici Oana
Published in:	Ovidius University Annals, Economic Sciences Series. - Facultatea de Ştiinţe Economice, ISSN 1582-9383. - Vol. XII.2012, 1, p. 1294-1299
Publisher:	Facultatea de Ştiinţe Economice
Subject:	credit risk \| reduced form models \| default intensity

More details

Extent:	application/pdf
Type of publication:	Article
Classification:	G30 - Corporate Finance and Governance. General ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010632327