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Credit Risk. Determination Models

Author

Listed:
  • Mihaela Gruiescu

    (Romanian American University, Romania)

  • Mihai Aristotel Ungureanu

    (Romanian American University, Romania)

  • Corina Ioanăș

    (Academy of Economic Studies Bucharest, Romania)

Abstract

The internationalization of financial flows and banking and the rapid development of markets have changed the financial sector, causing him to respond with force and imagination. Under these conditions, the concerns of financial and banking institutions, rating institutions are increasingly turning to find the best solutions to hedge risks and maximize profits. This paper aims to present a number of advantages, but also limits the Merton model, the first structural model for modeling credit risk. Also, some are extensions of the model, some empirical research and performance known, others such as state-dependent models (SDM), which together with the liquidation process models (LPM), are two recent efforts in the structural models, show different phenomena in real life.

Suggested Citation

  • Mihaela Gruiescu & Mihai Aristotel Ungureanu & Corina Ioanăș, 2012. "Credit Risk. Determination Models," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 12(1), pages 121-128.
    • Handle: RePEc:pet:annals:v:12:y:2012:i:1:p:121-128
    as

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    References listed on IDEAS

    as
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    5. Saita, Francesco, 2007. "Value at Risk and Bank Capital Management," Elsevier Monographs, Elsevier, edition 1, number 9780123694669.
    6. In Joon Kim & Krishna Ramaswamy & Suresh Sundaresan, 1993. "Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model," Financial Management, Financial Management Association, vol. 22(3), Fall.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    credit risk; structural model; payment incapacity; financiar tools; the theory of evaluation for option price;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G1 - Financial Economics - - General Financial Markets

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