Structural Credit Risk Models : Endogenous versus Exogenous Default

This article reviews structural credit risk models. Special emphasis is on the distinction between endogenous default versus exogenous default and the economic implications of the different assumptions. It is argued that models with endogenous default provide more insight into the default process. On the other hand, assuming exogenous default gives the flexibility to include certain features that are observed in actual credit markets

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Year of publication:	2012
Authors:	Imerman, Michael B.
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Kreditrisiko \| Credit risk \| Theorie \| Theory \| Insolvenz \| Insolvency

Extent:	1 Online-Ressource (29 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 25, 2012 erstellt
Other identifiers:	10.2139/ssrn.2146780 [DOI]
Classification:	G00 - Financial Economics. General ; G12 - Asset Pricing ; G33 - Bankruptcy; Liquidation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013100695