Credit Risk Modeling

  • David LandoEmail author


The chapter gives a broad outline of the central themes of credit risk modeling starting with the modeling of default probabilities, ratings and recovery.We present the two main frameworks for pricing credit risky instruments and credit derivatives. The key credit derivative - the Credit Default Swap - is introduced. The premium on this contract provides a meausure of the credit spread of the reference issuer. We then provide some key empirical works looking at credit spreads thorugh CDS contracts and bonds and finish with a description of the role of correlation in credit risk modeling.


Credit Risk Default Risk Corporate Bond Credit Spread Yield Spread 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.Department of FinanceCopenhagen Business SchoolFrederiksbergDenmark

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