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Evaluating Credit Risk: An Option Pricing Approach

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Abstract

A major problem facing banks is the evaluation of the capital risk of a potential client applying for credit. A similar problem is faced by an investor when evaluating the appropriate risk premium on a given corporate bond, above the yield on a government bond, due to credit risk.

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Authors
  1. Michel Crouhy
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  2. Dan Galai
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  3. Robert Mark
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Editor information

Editors and Affiliations

  1. School of Business Administration, Hebrew University, Jerusalem, Israel

    Dan Galai , David Ruthenberg , Marshall Sarnat  & Ben Z. Schreiber , ,  & 

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© 1999 Springer Science+Business Media New York

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Crouhy, M., Galai, D., Mark, R. (1999). Evaluating Credit Risk: An Option Pricing Approach. In: Galai, D., Ruthenberg, D., Sarnat, M., Schreiber, B.Z. (eds) Risk Management and Regulation in Banking. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-5043-3_6

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  • DOI: https://doi.org/10.1007/978-1-4615-5043-3_6

  • Publisher Name: Springer, Boston, MA

  • Print ISBN: 978-1-4613-7292-9

  • Online ISBN: 978-1-4615-5043-3

  • eBook Packages: Springer Book Archive

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