Credit Risk Modeling and Valuation: An Introduction
Stanford University - Management Science & Engineering
June 23, 2004
Credit risk is the distribution of financial losses due to unexpected changes in the credit quality of a counterparty in a financial agreement. We review the structural, reduced form and incomplete information approaches to estimating joint default probabilities and prices of credit sensitive securities.
Number of Pages in PDF File: 67
Keywords: credit risk, default risk, structural approach, reduced form approach, incomplete information approach, trend, intensity, compensator
JEL Classification: G13working papers series
Date posted: December 21, 2003
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