ilya, gikhman (2006): Some critical comments on credit risk modeling.

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Abstract
In this notice we are comment popular approaches to the credit risk modeling.
Item Type:  MPRA Paper 

Original Title:  Some critical comments on credit risk modeling. 
Language:  English 
Keywords:  Credit risk; credit derivatives; risk neutral world; risk neutral probability; structural model; reduced form 
Subjects:  G  Financial Economics > G1  General Financial Markets > G12  Asset Pricing ; Trading Volume ; Bond Interest Rates G  Financial Economics > G1  General Financial Markets > G13  Contingent Pricing ; Futures Pricing C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63  Computational Techniques ; Simulation Modeling C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling 
Item ID:  1451 
Depositing User:  Ilya Gikhman 
Date Deposited:  17. Jan 2007 
Last Modified:  19. Feb 2013 08:29 
References:  1. Duffie, D. Singleton, K. (2002). Credit Risk: Pricing, Measurement, and Management. NJ, Princeton University Press. 2. Gikhman, Il.I.(2006). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=900111. 3. Hull, J. , White, A. (2005). The Perfect Copula. 4. Vasicek, O.A. (1987). Probability of loss on loan portfolio, Working Paper, KMV Corporation. 5. Vasicek, O.A. (1991). Limiting Loan Loss Distribution, Working Paper, KMV Corporation. 6 Vasicek, O.A. (2002). The distribution of loan portfolio value. Risk. 7. Jarrow, R. , Turnbull, S. Derivatives Securities, 2nd ed, SouthWestern College Publishing, 2000. 
URI:  https://mpra.ub.unimuenchen.de/id/eprint/1451 