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Printable Handouts
Navigable Slide Index
- Introduction
- Credit risk
- Structural models
- The Merton approach: bond pricing
- The Merton approach: stock pricing
- Model details: the probability of default
- Model details: the credit spread
- Model details: the bond volatility
- Model's parameters: firm value and volatility
- Model's parameters: debt per share
- A practical example
- Beyond Merton: academic literature
- The limitations of the Merton model
- Extending Merton: The CreditGrades model
- CreditGrades: the survival probability
- CreditGrades: The CDS spread
- Reduced form models
- Building blocks
- Default intensity
- Default intensity examples (1)
- Default intensity examples (2)
- Default intensity examples (3)
- Deafault intensity examples (4)
- Linking reduced and structural models
- Recovery rates
- Summary of intensity models
- Epilogue: structural vs reduced form models
- References (1)
- References (2)
Topics Covered
- Structural models
- The Merton approach: bond pricing, stock pricing, default probability, credit spreads, bond volatility
- Parameter estimation
- Limitations
- Extending Merton: the CreditGrades model reduced form models
- Default intensity
- Examples: constant, deterministic and stochastic intensities
- Linking reduced and structural models
- Recovery rates
Talk Citation
Darsinos, T. (2007, October 1). Structural and reduced form models [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved November 13, 2024, from https://doi.org/10.69645/NLSB8826.Export Citation (RIS)