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Credit Risk Modeling

  • Arjun K. Gupta
  • Wei-Bin Zeng
  • Yanhong Wu
Chapter

Abstract

In this chapter, we briefly introduce the basic credit risk modeling including measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk.

Keywords

Credit Risk Credit Rating Credit Default Swap Default Probability Credit Spread 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.Department of Mathematics and StatisticsBowling Green State UniversityBowling GreenUSA
  2. 2.Department of MathematicsUniversity of LouisvilleLouisvilleUSA
  3. 3.Department of MathematicsCalifornia State University StanislausTurlockUSA

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