A SURVEY OF THE STRUCTURAL APPROACH IN CREDIT RISK MODELLING
Adrian Cantemir Calin and
Revista Economica, 2012, vol. Supplement, issue 4, 107-115
When discussing the risks faced by financial institutions involved in credit-granting, credit risk appears as one of the key aspects. It can be defined as the risk that one of the parties involved in a financial transaction will suffer a loss due to a decline in creditworthiness or a default of the counter-party of the transaction. The vast majority of credit risk models follow two separate approaches: the structural form and the reduced form. The aim of this paper is to present the evolution of structural models from the pioneering days of Black and Scholes and Merton to present.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://economice.ulbsibiu.ro/revista.economica/arc ... nte/Volume4-2012.pdf (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:blg:reveco:v:supplement:y:2012:i:4:p:107-115
Access Statistics for this article
More articles in Revista Economica from Lucian Blaga University of Sibiu, Faculty of Economic Sciences Lucian Blaga University of Sibiu, Faculty of Economic Sciences Dumbravii Avenue, No.17, postal code 550324, Sibiu, Romania. Contact information at EDIRC.
Bibliographic data for series maintained by Eduard Alexandru Stoica ().