Credit Risk. Determination Models

Mihaela Gruiescu (), Mihai Aristotel Ungureanu () and Corina Ioanăș ()
Additional contact information
Mihaela Gruiescu: Romanian American University, Romania
Mihai Aristotel Ungureanu: Romanian American University, Romania
Corina Ioanăș: Academy of Economic Studies Bucharest, Romania

Annals of the University of Petrosani, Economics, 2012, vol. 12, issue 1, 121-128

Abstract: The internationalization of financial flows and banking and the rapid development of markets have changed the financial sector, causing him to respond with force and imagination. Under these conditions, the concerns of financial and banking institutions, rating institutions are increasingly turning to find the best solutions to hedge risks and maximize profits. This paper aims to present a number of advantages, but also limits the Merton model, the first structural model for modeling credit risk. Also, some are extensions of the model, some empirical research and performance known, others such as state-dependent models (SDM), which together with the liquidation process models (LPM), are two recent efforts in the structural models, show different phenomena in real life.

Keywords: credit risk; structural model; payment incapacity; financiar tools; the theory of evaluation for option price (search for similar items in EconPapers)
JEL-codes: C10 G1 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://upet.ro/annals/economics/pdf/2012/part1/Gruiescu-Ungureanu-Ioanas.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:pet:annals:v:12:y:2012:i:1:p:121-128

Access Statistics for this article

More articles in Annals of the University of Petrosani, Economics from University of Petrosani, Romania
Bibliographic data for series maintained by Imola Driga ().