5. Reduced Form Models: Kamakura's Risk Manager

  1. Anthony Saunders and
  2. Linda Allen

Published Online: 6 DEC 2011

DOI: 10.1002/9781118267981.ch5

Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition

Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition

How to Cite

Saunders, A. and Allen, L. (2010) Reduced Form Models: Kamakura's Risk Manager, in Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118267981.ch5

Publication History

  1. Published Online: 6 DEC 2011
  2. Published Print: 19 APR 2010

ISBN Information

Print ISBN: 9780470478349

Online ISBN: 9781118267981

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Keywords:

  • reduced form models;
  • risk-free asset;
  • structural models;
  • risk-neutral probabilities;
  • recovery rates

Summary

This chapter contains sections titled:

  • Introduction

  • Deriving Risk-Neutral Probabilities of Default

  • Generalizing the Discrete Model of Risky Debt Pricing

  • The Loss Intensity Process

  • Kamakura's Risk Information Services (KRIS)

  • Determinants of Bond Spreads

  • Summary

  • Appendix 5.1: Understanding a Basic Intensity Process