Credit Risk Modeling

Arjun K. Gupta (), Wei-Bin Zeng () and Yanhong Wu ()
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Arjun K. Gupta: Bowling Green State University, Department of Mathematics and Statistics
Wei-Bin Zeng: University of Louisville, Department of Mathematics
Yanhong Wu: California State University Stanislaus, Department of Mathematics

Chapter Chapter 11 in Probability and Statistical Models, 2010, pp 221-235 from Springer

Abstract: Abstract In this chapter, we briefly introduce the basic credit risk modeling including measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk.

Keywords: Credit Risk; Credit Rating; Credit Default Swap; Default Probability; Credit Spread (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-0-8176-4987-6_11

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DOI: 10.1007/978-0-8176-4987-6_11

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