Credit Risk Modeling and Valuation: An Introduction
Kay Giesecke
Stanford University - Management Science & Engineering
June 23, 2004
Abstract:
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: G13
working papers series
Suggested Citation
Giesecke, Kay, Credit Risk Modeling and Valuation: An Introduction (June 23, 2004). Available at SSRN: http://ssrn.com/abstract=479323 or http://dx.doi.org/10.2139/ssrn.479323
