Credit Risk Models

Robert A Jarrow ()

Annual Review of Financial Economics, 2009, vol. 1, issue 1, pages 37-68

Abstract: This paper reviews the literature on credit risk models. Topics included are structural and reduced form models, incomplete information, credit derivatives, and default contagion. It is argued that reduced form models and not structural models are appropriate for the pricing and hedging of credit-risky securities. Directions for future research are discussed.

Keywords: structural models; reduced form models; credit derivatives; default contagion; credit default swaps (search for similar items in EconPapers)
JEL-codes: D82 G11 G12 G13 (search for similar items in EconPapers)
Date: 2009
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