The Structural Approach and Default Risk

Arsalan Azamighaimasi

International Journal of Financial Research, 2013, vol. 4, issue 1, 66-74

Abstract: This paper studied and developed credit risk models. Specifically, it focuses on the Merton model, its extensions model, and the way to survey new structural approach. Firstly, this paper has described the Merton model. And then, it has reviewed the first-passage model with more focus on default point. Finally, we considered the new structural approach which stressed that if the firm¡¯s value passes the threshold level b, the firm¡¯s value will continues unless the value process crosses and spends an exogenous quantity of time b below. We have used the Yildiray Yildirim model and ruin probability.

Keywords: Merton models; Threshold level; New structural approach; Ruin probability (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:4:y:2013:i:1:p:66-74

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