Recent Advances in Credit Risk Modeling

32 Pages Posted: 26 Aug 2009

See all articles by Christian Capuano

Christian Capuano

Swiss Financial Market Supervisory Authority (FINMA)

Jorge A. Chan-Lau

International Monetary Fund (IMF) - International Capital Markets Department

Jose Giancarlo Gasha

affiliation not provided to SSRN

Carlos I. Medeiros

International Monetary Fund (IMF)

Andre Oliveira Santos

International Monetary Fund (IMF)

Marcos Rietti Souto

affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Date Written: August 26, 2009

Abstract

As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for countries, corporations, financial institutions, and financial instruments. The paper summarizes some of the recent advances in this regard. It considers modifications of structural models, including of the classical Merton model, and efforts to reconcile the structural and the reduced-form models. It also discusses the reassessment of the default correlations using copulas, the pricing of credit index options, and the determination of the prices of distressed debt and estimation of recovery values.

Keywords: credit risk models

JEL Classification: G

Suggested Citation

Capuano, Christian and Chan-Lau, Jorge Antonio and Gasha, Jose Giancarlo and Medeiros, Carlos I. and Santos, Andre Oliveira and Souto, Marcos Rietti, Recent Advances in Credit Risk Modeling (August 26, 2009). Available at SSRN: https://ssrn.com/abstract=1462240 or http://dx.doi.org/10.2139/ssrn.1462240

Christian Capuano

Swiss Financial Market Supervisory Authority (FINMA) ( email )

Einsteinstrasse 2
Bern, 3003
Switzerland

Jorge Antonio Chan-Lau

International Monetary Fund (IMF) - International Capital Markets Department ( email )

700 19th Street NW
Washington, DC 20431
United States

Jose Giancarlo Gasha

affiliation not provided to SSRN

No Address Available

Carlos I. Medeiros (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Andre Oliveira Santos

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Marcos Rietti Souto

affiliation not provided to SSRN ( email )

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