A Comparative Analysis Of Credit Risk Models

Posted on:2005-03-04

Degree:Master

Type:Thesis

Country:China

Candidate:L Li

Full Text:PDF

GTID:2120360125961945

Subject:Basic mathematics

Abstract/Summary:

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There are three default models for credit risk: (i) Structural model; (ii) Reduced-form model; (iii) Partial information model. The aim of this paper is to give an introduction and comparative analysis of them. What is more, we present a Binomial tree model which belongs to the structural model.

Keywords/Search Tags:

Default risk, Structural model, Binomial tree model, Reduced-form model, Hazard process, Partial information model, Azema martingale

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