IDEAS home Printed from https://ideas.repec.org/a/anr/refeco/v1y2009p37-68.html
   My bibliography  Save this article

Credit Risk Models

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev.financial.050808.114300
    Download Restriction: Full text downloads are only available to subscribers. Visit the abstract page for more information.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    structural models; reduced form models; credit derivatives; default contagion; credit default swaps;

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:anr:refeco:v:1:y:2009:p:37-68. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (http://www.annualreviews.org). General contact details of provider: http://www.annualreviews.org .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.