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Structural Credit Risk Models: Endogenous Versus Exogenous Default

In: Encyclopedia of Finance

Author

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  • Michael B. Imerman

    (Princeton University)

Abstract

This chapter reviews structural credit risk models. Special emphasis is on the distinction between endogenous default versus exogenous default and the economic implications of the different assumptions. It is argued that models with endogenous default provide more insight into the default process. On the other hand, assuming exogenous default gives the flexibility to include certain features that are observed in actual credit markets.

Suggested Citation

  • Michael B. Imerman, 2022. "Structural Credit Risk Models: Endogenous Versus Exogenous Default," Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 56, pages 1293-1316, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-91231-4_56
    DOI: 10.1007/978-3-030-91231-4_56
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