Some critical comments on credit risk modeling.

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

Abstract

In this notice we are comment popular approaches to the credit risk modeling.

• Item Type: MPRA Paper
• 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

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, South-Western College Publishing, 2000.