Structure and Intensity Based Approach in Credit Risk Models: A Literature Review

Authors

  • Adithi Ramesh Dr MGR Educational and Research Institute University
  • C.B Senthil Kumar

Abstract

Credit Risk modeling has been a subject of considerable research interest for finance and statistical researchers. The quantification of credit risk by assigning measurable and comparable numbers to the likelihood of default or spread risk is a major frontier in modern finance. In this paper we provide a literature review of credit risk models including both structural and intensity based approaches. Our focus is placed on probability of default and hazard rate of time to default.Keywords: Credit Risks, Defaults, Weiner process, volatility.JEL Classifications: C58, E51

Downloads

Download data is not yet available.

Author Biography

Adithi Ramesh, Dr MGR Educational and Research Institute University

Faculty of Managment Studies

Downloads

Published

2017-06-29

How to Cite

Ramesh, A., & Kumar, C. S. (2017). Structure and Intensity Based Approach in Credit Risk Models: A Literature Review. International Journal of Economics and Financial Issues, 7(3), 609–612. Retrieved from https://mail.econjournals.com/index.php/ijefi/article/view/4721

Issue

Vol. 7 No. 3 (2017)

Section

Articles
Views
  • Abstract 186
  • PDF 840