Main Credit Modeling Approaches

@inproceedings{Bomfim2005MainCM,
  title={Main Credit Modeling Approaches},
  author={Antulio N. Bomfim},
  year={2005}
}
This chapter reviews the credit risk literature with a special focus on the main modeling approaches for valuing instruments subject to default risk. The so-called firm value or structural approach to credit modeling traces its origins back to the work of Black and Scholes and the work of Merton. Credit models in this tradition focus on the analysis of the capital structure of individual firms in order to price their debt instruments. The discussion of the structural approach relies on some… CONTINUE READING