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Credit Risk. Determination Models

Mihaela Gruiescu (), Mihai Aristotel Ungureanu () and Corina Ioanăș ()
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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
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