Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/65371
Authors: 
Giesecke, Kay
Year of Publication: 
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: 
Document Type: 
Working Paper

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