Credit Risk Modeling and Valuation: An Introduction

Giesecke, Kay

doi:10.2139/ssrn.479323

Download This Paper

Open PDF in Browser

Add Paper to My Library

Credit Risk Modeling and Valuation: An Introduction

67 Pages Posted: 21 Dec 2003

See all articles by Kay Giesecke

Kay Giesecke

Stanford University - Department of Management Science & Engineering

Date Written: 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.

Keywords: credit risk, default risk, structural approach, reduced form approach, incomplete information approach, trend, intensity, compensator

JEL Classification: G13

Suggested Citation: Suggested Citation

Giesecke, Kay, Credit Risk Modeling and Valuation: An Introduction (June 23, 2004). Available at SSRN: https://ssrn.com/abstract=479323 or http://dx.doi.org/10.2139/ssrn.479323