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Theoretical Foundations of Credit Risk Fundamentals and Methods of Determining Credit Risk

  • Kristina Reimer
Chapter
Part of the Quantitatives Controlling book series (QC)

Abstract

This chapter provides fundamentals of credit risk underlying the rest of my thesis. Section 3.1 introduces the term “credit risk” and provides a classification of credit risk into various risk categories. In Section 3.2, I discuss credit risk measurement based on two theoretical models: structural and reduced-form approaches. In Section 3.3, I proceed with the measurement of credit risk, whereby the credit derivative CDS is considered in detail. Figure 3.1 illustrates the structure of this chapter.

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Copyright information

© Springer Fachmedien Wiesbaden GmbH, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Universität zu KölnKölnGermany

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