Credit Risk Modeling

David Lando ()
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David Lando: Copenhagen Business School, Department of Finance

Chapter 35 in Handbook of Financial Time Series, 2009, pp 787-798 from Springer

Abstract: Abstract The chapter gives a broad outline of the central themes of credit risk modeling starting with the modeling of default probabilities, ratings and recovery.We present the two main frameworks for pricing credit risky instruments and credit derivatives. The key credit derivative - the Credit Default Swap - is introduced. The premium on this contract provides a meausure of the credit spread of the reference issuer. We then provide some key empirical works looking at credit spreads thorugh CDS contracts and bonds and finish with a description of the role of correlation in credit risk modeling.

Keywords: Credit Risk; Default Risk; Corporate Bond; Credit Spread; Yield Spread (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/978-3-540-71297-8_35

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