Structural Credit Risk Models: Endogenous Versus Exogenous Default

Michael B. Imerman
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Michael B. Imerman: Princeton University

Chapter 56 in Encyclopedia of Finance, 2022, pp 1293-1316 from Springer

Abstract: Abstract This chapter reviews structural credit risk models. Special emphasis is on the distinction between endogenous default versus exogenous default and the economic implications of the different assumptions. It is argued that models with endogenous default provide more insight into the default process. On the other hand, assuming exogenous default gives the flexibility to include certain features that are observed in actual credit markets.

Keywords: Bond pricing; Credit spreads; Default probability; Structural credit risk models (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-91231-4_56

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DOI: 10.1007/978-3-030-91231-4_56

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