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ARTÍCULO
TITULO

Structure and Intensity Based Approach in Credit Risk Models: A Literature Review

Adithi Ramesh    
C.B Senthil Kumar    

Resumen

Credit Risk modeling has been a subject of considerable research interest for finance and statistical researchers. The quantification of credit risk by assigning measurable and comparable numbers to the likelihood of default or spread risk is a major frontier in modern finance. In this paper we provide a literature review of credit risk models including both structural and intensity based approaches. Our focus is placed on probability of default and hazard rate of time to default.Keywords: Credit Risks, Defaults, Weiner process, volatility.JEL Classifications: C58, E51

PÁGINAS
pp. 609 - 612
MATERIAS
ECONOMÍA

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