Credit Risk Models
Copyright policy ) Robert A. Jarrow;
Credit Risk Models
This paper reviews the literature on credit risk models. Topics included are structural and reduced form models, incomplete information, credit derivatives, and default contagion. It is argued that reduced form models and not structural models are appropriate for the pricing and hedging of credit-risky securities. Directions for future research are discussed.
- Cornell University United States
structural models, reduced form models, credit derivatives, default contagion, credit default swaps, jel: jel:D82, jel: jel:G12, jel: jel:G13, jel: jel:G11
structural models, reduced form models, credit derivatives, default contagion, credit default swaps, jel: jel:D82, jel: jel:G12, jel: jel:G13, jel: jel:G11
citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).42 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Top 10% influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Top 10% impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Top 10%
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Citations provided by BIP!
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
Citations provided by BIP!popularityPopularity provided by BIP!
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
Popularity provided by BIP! 42
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