Doubly Stochastic Reduced Form Credit Risk Model and Default Probability Uncertainty – a Technical Toolkit

Jonas Vogt

Journal of Statistical and Econometric Methods, 2017, vol. 6, issue 2, 2

Abstract: Reduced form credit risk models provide a versatile platform to model credit risks and to quantify the interplay between the stochastic dimension of default probabilities and credit spread levels. This article gives a brief introduction to the required technical foundations and discusses the approach to examine uncertainties regarding default probabilities and credit spreads which has been established by [1]. The intention of this article is to help academic researcher as well as practitioners to understand related research projects, to do new research on this question or to improve credit risk models used in financial institutions.Mathematics Subject Classification: G12; G13Keywords: Credit Risk; Reduced Form Credit Risk Models; Variance Premium

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.scienpress.com/Upload/JSEM%2fVol%206_2_2.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spt:stecon:v:6:y:2017:i:2:f:6_2_2

Access Statistics for this article

More articles in Journal of Statistical and Econometric Methods from SCIENPRESS Ltd
Bibliographic data for series maintained by Eleftherios Spyromitros-Xioufis ().