16. Approaches to quantification of credit risk

  1. Vinod Kothari

Published Online: 20 MAR 2012

DOI: 10.1002/9781118390412.ch16

Credit Derivatives and Structured Credit Trading, Revised Edition

Credit Derivatives and Structured Credit Trading, Revised Edition

How to Cite

Kothari, V. (2008) Approaches to quantification of credit risk, in Credit Derivatives and Structured Credit Trading, Revised Edition, John Wiley & Sons (Asia) Pte. Ltd., 2 Clementi Loop, #02-01, Singapore 129809. doi: 10.1002/9781118390412.ch16

Publication History

  1. Published Online: 20 MAR 2012
  2. Published Print: 19 SEP 2008

ISBN Information

Print ISBN: 9780470822920

Online ISBN: 9781118390412

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Keywords:

  • semi analytic approaches;
  • financial statement analysis;
  • multivariate models;
  • option-theoretic models;
  • merton model

Summary

This chapter contains sections titled:

  • Credit risk: semi analytic approaches

  • Option-theoretic models

  • Intensity or hazard rate models

  • Endnotes