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Credit Risk Modelling Under the Reduced Form Approach

Author

Listed:
  • Cãlin Adrian Cantemir

    (Faculty of International Business and Economics, Bucharest Academy of Economic Studies)

  • Popovici Oana Cristina

    (Faculty of International Business and Economics, Bucharest Academy of Economic Studies)

Abstract

Credit risk is one of the most important aspects that need to be considered by financial institutions involved in credit-granting. It is defined as the risk of loss that arises from a borrower who does not make payments as promised. For modelling credit risk there are two main approaches: the structural models and the reduced form models. The purpose of this paper is to review the evolution of reduced form models from the pioneering days of Jarrow and Turnbull to present

Suggested Citation

  • Cãlin Adrian Cantemir & Popovici Oana Cristina, 2012. "Credit Risk Modelling Under the Reduced Form Approach," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 1294-1299, May.
  • Handle: RePEc:ovi:oviste:v:xii:y:2012:i:12:p:1294-1299
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    1. repec:ath:journl:tome:34:v:2:y:2014:i:34:p:99-109 is not listed on IDEAS

    More about this item

    Keywords

    credit risk; reduced form models; default intensity;
    All these keywords.

    JEL classification:

    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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