IDEAS home Printed from
   My bibliography  Save this paper

"Credit Risk Modeling Approaches"(in Japanese)


  • Takao Kobayashi

    (Faculty of Economics, The University of Tokyo)


This article originates from a speech given by the author in the seminar organized by the Security Analysts Association of Japan (SAAJ) on September fifth of 2003 to commemorate the founding of the Certified International Investment Analyst (CIIA) qualification. In the first half, I give a fairly comprehensive, non-quantitative summary of the recent developments of credit risk modeling approaches and techniques. In the latter half, I illustrate a new convertible-bond (CB) pricing model that we developed using the reduced-form approach to handle the credit-risk component embedded in convertible bonds. I also present some results of applying our model and, for comparison, a structural model, to Japanese CB markets.

Suggested Citation

  • Takao Kobayashi, 2003. ""Credit Risk Modeling Approaches"(in Japanese)," CIRJE J-Series CIRJE-J-100, CIRJE, Faculty of Economics, University of Tokyo.
  • Handle: RePEc:tky:jseres:2003cj100

    Download full text from publisher

    File URL:
    Download Restriction: no


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Hideya Kubo & Yasuhiro Sakai, 2011. "On long-term credit risk assessment and rating: towards a new set of models," Journal of Risk Research, Taylor & Francis Journals, vol. 14(9), pages 1127-1141, October.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    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:tky:jseres:2003cj100. 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: (CIRJE administrative office). General contact details of provider: .

    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.