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Credit Risk: Constructing the Basic Building Blocks

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  • Lane P. Hughston
  • Stuart M. Turnbull

Abstract

type="main" xml:lang="en"> This paper uses three basic results to address three problems. The first problem concerns the pricing of corporate bonds, when in the event of default the claim of the bond holders is on the principal of the bond plus accrued interest. The second concerns the pricing of revolver loans, and the third problem we address is the valuation of the collateral associated with a loan. (J.E.L.: G12, G13)

Suggested Citation

  • Lane P. Hughston & Stuart M. Turnbull, 2001. "Credit Risk: Constructing the Basic Building Blocks," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(2), pages 281-292, July.
    • Handle: RePEc:bla:ecnote:v:30:y:2001:i:2:p:281-292
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    File URL: http://hdl.handle.net/10.1111/j.0391-5026.2001.00057.x
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    Cited by:

    1. Chateau, Jean-Pierre D., 2011. "Contribution à la réglementation de Bâle-3 : de la consistance interne du continuum du crédit commercial en marquant à la « valeur de modèle » le risque de crédit des engagements de crédit," L'Actualité Economique, Société Canadienne de Science Economique, vol. 87(4), pages 445-479, décembre.
    2. Chava, Sudheer & Jarrow, Robert, 2008. "Modeling loan commitments," Finance Research Letters, Elsevier, vol. 5(1), pages 11-20, March.
    3. Abel Elizalde, 2006. "Credit Risk Models I: Default Correlation in Intensity Models," Working Papers wp2006_0605, CEMFI.
    4. Chateau, John-Peter D., 2009. "Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 260-270, December.

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