Abstract
We survey the stochastic models and computational challenges arising from credit risk, in particular, the valuation of credit derivatives whose payouts are contingent on one or many default events, such as the bankruptcy of a firm, nonrepayment of a loan, or missing a mortgage payment.
| Original language | English (US) |
|---|---|
| Title of host publication | Wiley Encyclopedia of Operations Research and Management Science |
| Publisher | wiley |
| Pages | 1-10 |
| Number of pages | 10 |
| ISBN (Electronic) | 9780470400531 |
| ISBN (Print) | 9780470400630 |
| DOIs | |
| State | Published - Jan 1 2010 |
| Externally published | Yes |
All Science Journal Classification (ASJC) codes
- General Arts and Humanities
- General Business, Management and Accounting
Keywords
- credit derivatives
- credit risk
- intensity-based models
- structural default model
- top-down models
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