Credit Risk Modeling

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


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.


Credit Risk Asset Return Default Probability Composite Factor Large Portfolio 
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Copyright information

© Springer Fachmedien Wiesbaden 2014

Authors and Affiliations

  1. 1.ViennaAustria

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