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Structure and Intensity Based Approach in Credit Risk Models: A Literature Review

Year 2017, Volume: 7 Issue: 3, 609 - 612, 01.09.2017

Adithi Ramesh C.b Senthil Kumar

Abstract

Credit Risk modeling has been a subject of considerable research interest for finance and statistical researchers. The quantification of credit risk by assigning measurable and comparable numbers to the likelihood of default or spread risk is a major frontier in modern finance. In this paper we provide a literature review of credit risk models including both structural and intensity based approaches. Our focus is placed on probability of default and hazard rate of time to default.

Keywords

Credit Risks Defaults Weiner process volatility

Year 2017, Volume: 7 Issue: 3, 609 - 612, 01.09.2017

Adithi Ramesh C.b Senthil Kumar

Abstract

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Details

Other ID JA57VA95RA
Journal Section Research Article
Authors

Adithi Ramesh This is me

C.b Senthil Kumar This is me

Publication Date September 1, 2017
Published in Issue Year 2017 Volume: 7 Issue: 3

Cite

APA Ramesh, A., & Kumar, C. S. (2017). Structure and Intensity Based Approach in Credit Risk Models: A Literature Review. International Journal of Economics and Financial Issues, 7(3), 609-612.
AMA Ramesh A, Kumar CS. Structure and Intensity Based Approach in Credit Risk Models: A Literature Review. IJEFI. September 2017;7(3):609-612.
Chicago Ramesh, Adithi, and C.b Senthil Kumar. “Structure and Intensity Based Approach in Credit Risk Models: A Literature Review”. International Journal of Economics and Financial Issues 7, no. 3 (September 2017): 609-12.
EndNote Ramesh A, Kumar CS (September 1, 2017) Structure and Intensity Based Approach in Credit Risk Models: A Literature Review. International Journal of Economics and Financial Issues 7 3 609–612.
IEEE A. Ramesh and C. S. Kumar, “Structure and Intensity Based Approach in Credit Risk Models: A Literature Review”, IJEFI, vol. 7, no. 3, pp. 609–612, 2017.
ISNAD Ramesh, Adithi - Kumar, C.b Senthil. “Structure and Intensity Based Approach in Credit Risk Models: A Literature Review”. International Journal of Economics and Financial Issues 7/3 (September 2017), 609-612.
JAMA Ramesh A, Kumar CS. Structure and Intensity Based Approach in Credit Risk Models: A Literature Review. IJEFI. 2017;7:609–612.
MLA Ramesh, Adithi and C.b Senthil Kumar. “Structure and Intensity Based Approach in Credit Risk Models: A Literature Review”. International Journal of Economics and Financial Issues, vol. 7, no. 3, 2017, pp. 609-12.
Vancouver Ramesh A, Kumar CS. Structure and Intensity Based Approach in Credit Risk Models: A Literature Review. IJEFI. 2017;7(3):609-12.