Some critical comments on credit risk modeling

Ilya Gikhman ()

MPRA Paper from University Library of Munich, Germany

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

Keywords: Credit risk; credit derivatives; risk neutral world; risk neutral probability; structural model; reduced form (search for similar items in EconPapers)
JEL-codes: C6 C63 G12 G13 (search for similar items in EconPapers)
Date: 2006-07, Revised 2006-07
New Economics Papers: this item is included in nep-ban, nep-fmk, nep-rmg and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:1451

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