Introduction to Credit Risk Models

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[2008/03/15 08:36 | 分类: 金融向导 | by 阿紫的DD ]

In this article we will cover the basics of credit risk (also known as default risk), it's importance in financial modelling and the 2 main market techniques for incorporating credit risk into pricing options. We start right at the beginning by defining credit risk, then introducing some of the jargon used by credit risk analysts, before moving onto the modelling aspects.

What is credit risk? In short, it is the risk arising from the possibility of firms defaulting an

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