THE MODELS OF CREDIT RISK ASSESSMENT
https://doi.org/10.32686/1812-5220-2017-14-4-68-75
Abstract
The purpose of this Article is to present overview of models which help to assess credit risks. The methodology for modelling a credit event can be split into two main approaches: the structural approach and the reduced form approach. The basic of credit risk assessment is the concept of default. The structural approach framework, the probability of default depends on the market value of the company: if the value of the company falls below the threshold — the default occurs. There are models of authors: Merton, Black & Cox, Vasicek, CreditMetrics, KMV; are consider in the article. The second approach is based on the computation of the «hazard process»: the probability of default not depends on the market value of the company. In the article we focus on CreditRisk+ & CreditPortfolio models.
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Review
For citations:
Aris E.T. THE MODELS OF CREDIT RISK ASSESSMENT. Issues of Risk Analysis. 2017;14(4):68-75. (In Russ.) https://doi.org/10.32686/1812-5220-2017-14-4-68-75
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