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Title:Credit risk modeling and valuation: An introduction PDF Logo
Authors:Giesecke, Kay
Issue Date:2002
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,54
Abstract:Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities. We consider individual as well as correlated credit risks.
Subjects:compensator
intensity
credit risk
default risk
structural approach
reduced form approach
JEL:G12
G13
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10049126
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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