Structure and Intensity Based Approach in Credit Risk Models: A Literature Review

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 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.
International Journal of Economics and Financial Issues-Cover
  • Başlangıç: 2011
  • Yayıncı: İlhan ÖZTÜRK