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"Credit Risk Modeling Approaches"(in Japanese)

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  • Takao Kobayashi

    (Faculty of Economics, The University of Tokyo)

Abstract

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
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cj100.pdf
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    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.

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