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Credit Risk Modeling

  • Enrico Marcantoni
Chapter
Part of the BestMasters book series (BEST)

Abstract

This chapter will present an overview of the credit risk modeling literature. It will present the general setup which the most common models share and the derivation of the models themselves. This overview contains the models, which will be in the centre of the empirical part of the next chapters.

Keywords

Credit Risk Asset Return Default Probability Composite Factor Large Portfolio 
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.

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Copyright information

© Springer Fachmedien Wiesbaden 2014

Authors and Affiliations

  1. 1.ViennaAustria

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