Credit risk pricing in a general framework

• Main Author: Huang, Hanming
• Other Authors: Yao Shuntian
• Format: Theses and Dissertations
• Language: English
• Published: 2012
• Subjects: DRNTU::Social sciences::Economic theory::Money and banking
• Institution: Nanyang Technological University

In the literature, two principal approaches are widely used for credit risk modeling: structural models and reduced form models. The evolution of firms’ structural variables, such as firms’ asset and debt values, are applied to determine the time of default in structural models. In these models, a d...