Credit Risk Modeling and Valuation: An Introduction
by Kay Giesecke of Cornell University
October 24, 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, intensity, trend, compensator.
This paper is republished as Ch.16 in...