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Credit Risk Models

Author

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  • Robert A. Jarrow

    (Johnson Graduate School of Management, Cornell University, Ithaca, New York 14853)

Abstract

This paper reviews the literature on credit risk models. Topics included are structural and reduced form models, incomplete information, credit derivatives, and default contagion. It is argued that reduced form models and not structural models are appropriate for the pricing and hedging of credit-risky securities. Directions for future research are discussed.

Suggested Citation

  • Robert A. Jarrow, 2009. "Credit Risk Models," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 37-68, November.
    • Handle: RePEc:anr:refeco:v:1:y:2009:p:37-68
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    File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev.financial.050808.114300
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    More about this item

    Keywords

    structural models; reduced form models; credit derivatives; default contagion; credit default swaps;
    All these keywords.

    JEL classification:

    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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