Some critical comments on credit risk modeling
AbstractIn this notice we are comment popular approaches to the credit risk modeling.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 1451.
Date of creation: Jul 2006
Date of revision: Jul 2006
Credit risk; credit derivatives; risk neutral world; risk neutral probability; structural model; reduced form;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-23 (All new papers)
- NEP-BAN-2007-01-23 (Banking)
- NEP-FMK-2007-01-23 (Financial Markets)
- NEP-RMG-2007-01-23 (Risk Management)
- NEP-UPT-2007-01-23 (Utility Models & Prospect Theory)
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