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A SURVEY OF THE STRUCTURAL APPROACH IN CREDIT RISK MODELLING

Adrian Cantemir Calin and Oana Popovici

Revista Economica, 2012, vol. Supplement, issue 4, 107-115

Abstract: 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.

Date: 2012
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