1932

Abstract

This paper reviews the literature on credit risk models. Topics included are structural and reduced form models, incomplete information, credit derivatives, and default contagion. It is argued that reduced form models and not structural models are appropriate for the pricing and hedging of credit-risky securities. Directions for future research are discussed.

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/content/journals/10.1146/annurev.financial.050808.114300
2009-09-01
2024-04-26
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  • Article Type: Review Article
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