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Some critical comments on credit risk modeling

Author

Listed:
  • ilya, gikhman

Abstract

In this notice we are comment popular approaches to the credit risk modeling.

Suggested Citation

  • ilya, gikhman, 2006. "Some critical comments on credit risk modeling," MPRA Paper 1451, University Library of Munich, Germany, revised Jul 2006.
  • Handle: RePEc:pra:mprapa:1451
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    File URL: https://mpra.ub.uni-muenchen.de/1451/1/MPRA_paper_1451.pdf
    File Function: original version
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    More about this item

    Keywords

    Credit risk; credit derivatives; risk neutral world; risk neutral probability; structural model; reduced form;

    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

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