Structure and Intensity Based Approach in Credit Risk Models: A Literature Review


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Authors

  • Adithi Ramesh Dr MGR Educational and Research Institute University
  • C.B Senthil Kumar

Abstract

Credit Risk modeling has been a subject of considerable research interest for finance and statistical researchers. The quantification of credit risk by assigning measurable and comparable numbers to the likelihood of default or spread risk is a major frontier in modern finance. In this paper we provide a literature review of credit risk models including both structural and intensity based approaches. Our focus is placed on probability of default and hazard rate of time to default.Keywords: Credit Risks, Defaults, Weiner process, volatility.JEL Classifications: C58, E51

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Author Biography

Adithi Ramesh, Dr MGR Educational and Research Institute University

Faculty of Managment Studies

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Published

2017-06-29

How to Cite

Ramesh, A., & Kumar, C. S. (2017). Structure and Intensity Based Approach in Credit Risk Models: A Literature Review. International Journal of Economics and Financial Issues, 7(3), 609–612. Retrieved from https://www.econjournals.com/index.php/ijefi/article/view/4721

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