EconPapers    
Economics at your fingertips  
 

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
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://stec.univ-ovidius.ro/html/anale/ENG/cuprins%20rezumate/volum2012p1.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ovi:oviste:v:xii:y:2012:i:12:p:1294-1299

Access Statistics for this article

Ovidius University Annals, Economic Sciences Series is currently edited by Spatariu Cerasela

More articles in Ovidius University Annals, Economic Sciences Series from Ovidius University of Constantza, Faculty of Economic Sciences Contact information at EDIRC.
Bibliographic data for series maintained by Gheorghiu Gabriela ().

 
Page updated 2019-06-16
Handle: RePEc:ovi:oviste:v:xii:y:2012:i:12:p:1294-1299