Difference between revisions of "Structural Credit Models"
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== Definition == | == Definition == | ||
| − | '''Structural Credit Models''' denote a family of corporate [[Credit Risk]] models that treat corporate debt and default behaviour in a contingent claim (option theoretic) framework. | + | '''Structural Credit Models''' denote a family of corporate [[Credit Risk]] models that treat corporate debt and default behaviour in a contingent claim (option theoretic) framework. There is a wide range of variations, including: |
| − | |||
| − | There is a wide range of variations, including: | ||
* [[Threshold Models | first passage (threshold) models]] | * [[Threshold Models | first passage (threshold) models]] | ||
* Models with incomplete information etc. | * Models with incomplete information etc. | ||
| Line 14: | Line 12: | ||
== See Also == | == See Also == | ||
* [[Copula Based Credit Portfolio Models]] | * [[Copula Based Credit Portfolio Models]] | ||
| + | * [[Reduced Form Models]] | ||
== References == | == References == | ||
Latest revision as of 16:33, 1 December 2022
Definition
Structural Credit Models denote a family of corporate Credit Risk models that treat corporate debt and default behaviour in a contingent claim (option theoretic) framework. There is a wide range of variations, including:
- first passage (threshold) models
- Models with incomplete information etc.
In a credit pricing context structural models are alternatives to stochastic intensity (also reduced form) models. In a credit risk measurement context structural models are alternatives to logistic regression models (or generalizations to proportional hazard rate models).
Issues and Challenges
- While structural models offer a compelling narrative in understanding drivers of credit risk, ultimately the question is the Model Accuracy in particular in connection with available data to model the corporate liability structure
