Structure and Intensity Based Approach in Credit Risk Models: A Literature Review

Adithi Ramesh and C. B Senthil Kumar
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Adithi Ramesh: Faculty of Management Studies, Dr. M.G.R Educational and Research Institute University, Chennai, Tamil Nadu, India,
C. B Senthil Kumar: Department of Commerce, Dr.M.G.R Educational and Research Institute University, Chennai, Tamil Nadu, India.

International Journal of Economics and Financial Issues, 2017, vol. 7, issue 3, 609-612

Abstract: Credit risk modeling has been a subject of considerable research interest for finance and statistical researchers. The quantification of credit risk by assigning measurable and comparable numbers to the likelihood of default or spread risk is a major frontier in modern finance. In this paper we provide a literature review of credit risk models including both structural and intensity based approaches. Our focus is placed on probability of default and hazard rate of time to default.

Keywords: Credit Risks; Defaults; Weiner Process; Volatility (search for similar items in EconPapers)
JEL-codes: C01 C02 C87 (search for similar items in EconPapers)
Date: 2017
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