Mathematical Models for Measuring Default Risks

Jin Liang and Bei Hu
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Jin Liang: Tongji University, School of Mathematical Science
Bei Hu: University of Notre Dame, Applied and Computational Mathematics and Statistics

Chapter Chapter 3 in Credit Rating Migration Risks in Structure Models, 2024, pp 45-74 from Springer

Abstract: Abstract In this chapter, we introduce a popular risk metric VaR for loss, the two primary models, reduced form and structure models, as well as their relationship for the default risks.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-97-2179-5_3

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DOI: 10.1007/978-981-97-2179-5_3

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