TY  - JOUR
TT  - Structure and Intensity Based Approach in Credit Risk Models: A Literature Review
AU  - Ramesh, Adithi
AU  - Kumar, C.b Senthil
PY  - 2017
DA  - September
JF  - International Journal of Economics and Financial Issues
JO  - IJEFI
PB  - İlhan ÖZTÜRK
WT  - DergiPark
SN  - 2146-4138
SP  - 609
EP  - 612
VL  - 7
IS  - 3
KW  - Credit Risks
KW  - Defaults
KW  - Weiner process
KW  - volatility
N2  - 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.
UR  - https://dergipark.org.tr/tr/pub/ijefi/issue//354306
L1  - https://dergipark.org.tr/tr/download/article-file/365440
ER  -