Some Critical Comments on Credit Risk Modeling

6 Pages Posted: 23 Nov 2006

Date Written: November 22, 2006


The credit risk along with the credit derivatives is a modern area of the financial business. In recent years this field becomes the most successful innovation, which accumulates significant cash flows as well as the highest attention within financial community. In this notice we present some general comments concerning mathematical techniques used for the credit risk modeling. We will not discuss here specific forms of the credit derivatives.

Keywords: Credit risk, credit derivatives, risk neutral world, risk neutral probability

JEL Classification: A23, C6, G13, G32

Suggested Citation

Gikhman, Ilya I., Some Critical Comments on Credit Risk Modeling (November 22, 2006). Available at SSRN: or

Ilya I. Gikhman (Contact Author)

Independent ( email )

6077 Ivy Woods Court
Mason, OH 45040
513-573-9348 (Phone)

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