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Credit Risk Modeling

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More About This Textbook

Overview

This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric Brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and interest rates follow affine jump diffusion processes. In our extended model volatility is stochastic, asset value and volatility has correlated jumps and interest rates are stochastic and have jumps. Finally, we analyze the modeling of single firm credit risk and credit risk pricing by using our extended model and show how our model can be used as a solution for the problems we encounter with simple models.
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Product Details

  • ISBN-13: 9783838381312
  • Publisher: AV Akademikerverlag GmbH & Co. KG.
  • Publication date: 7/29/2010
  • Pages: 164
  • Product dimensions: 6.00 (w) x 9.00 (h) x 0.38 (d)

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