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Credit Risk

  1. Tim Leung1,
  2. Ronnie Sircar2

Published Online: 15 JAN 2013

DOI: 10.1002/9780470400531.eorms1064

Wiley Encyclopedia of Operations Research and Management Science

Wiley Encyclopedia of Operations Research and Management Science

How to Cite

Leung, T. and Sircar, R. 2013. Credit Risk. Wiley Encyclopedia of Operations Research and Management Science. 1–10.

Author Information

  1. 1

    Columbia University, IEOR Department, New York, NY, USA

  2. 2

    Princeton University, ORFE Department, Princeton, NJ, USA

Publication History

  1. Published Online: 15 JAN 2013

Abstract

We survey the stochastic models and computational challenges arising from credit risk, in particular, the valuation of credit derivatives whose payouts are contingent on one or many default events, such as the bankruptcy of a firm, nonrepayment of a loan, or missing a mortgage payment.

Keywords:

  • credit risk;
  • credit derivatives;
  • structural default model;
  • intensity-based models;
  • top-down models