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The Structural Approach to Modeling Credit Risk

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Handbook of Quantitative Finance and Risk Management

Abstract

In this article we present a survey of recent developments in the structural approach to modeling of credit risk. We first review some models for measuring credit risk based on the structural approach. We then discuss the empirical evidence in the literature on the performance of structural models of credit risk.

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Authors and Affiliations

  1. Department of Finance, Smeal College of Business, Pennsylvania State University, University Park, PA, 16802, USA

    Jing-zhi Huang

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  1. Jing-zhi Huang
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Correspondence to Jing-zhi Huang .

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Editors and Affiliations

  1. Department of Finance and Economics, Rutgers University, 94 Rockafeller Road, Janice H. Levin Bldg., New Brunswick, NJ, 08854-8054, USA

    Cheng-Few Lee

  2. State Street Corp., Boston, MA, 94132, USA

    Alice C. Lee

  3. Center for PBBEF Research, North Brunswick, NJ, USA

    John Lee

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Huang, Jz. (2010). The Structural Approach to Modeling Credit Risk. In: Lee, CF., Lee, A.C., Lee, J. (eds) Handbook of Quantitative Finance and Risk Management. Springer, Boston, MA. https://doi.org/10.1007/978-0-387-77117-5_44

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