Abstract
There are two models for studying credit risk. The first is called the structural approach. This model assumes that all of the assets of the firm trade, an unrealistic assumption. The second is called the reduced form model. This model assumes that only a subset of the firm’s liabilities trade, those that need to be priced and hedged. This is the model studied in this chapter.
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Jarrow, R.A. (2018). Reduced Form Credit Risk Models. In: Continuous-Time Asset Pricing Theory. Springer Finance(). Springer, Cham. https://doi.org/10.1007/978-3-319-77821-1_7
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DOI: https://doi.org/10.1007/978-3-319-77821-1_7
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