Published Online: 15 JAN 2013
Copyright © 2010 John Wiley & Sons, Inc. All rights reserved.
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.
- Published Online: 15 JAN 2013
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.
- credit risk;
- credit derivatives;
- structural default model;
- intensity-based models;
- top-down models