Credit Risk Modelling Under the Reduced Form Approach

Adrian Cantemir Calin and Oana Popovici

Ovidius University Annals, Economic Sciences Series, 2012, vol. XII, issue 1, 1294-1299

Abstract: Credit risk is one of the most important aspects that need to be considered by financial institutions involved in credit-granting. It is defined as the risk of loss that arises from a borrower who does not make payments as promised. For modelling credit risk there are two main approaches: the structural models and the reduced form models. The purpose of this paper is to review the evolution of reduced form models from the pioneering days of Jarrow and Turnbull to present

Keywords: credit risk; reduced form models; default intensity (search for similar items in EconPapers)
JEL-codes: G30 G32 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:ovi:oviste:v:xii:y:2012:i:12:p:1294-1299

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