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Navigable Slide Index

1. Introduction
2. Credit risk
3. Structural models
4. The Merton approach: bond pricing
5. The Merton approach: stock pricing
6. Model details: the probability of default
7. Model details: the credit spread
8. Model details: the bond volatility
9. Model's parameters: firm value and volatility
10. Model's parameters: debt per share
11. A practical example
12. Beyond Merton: academic literature
13. The limitations of the Merton model
14. Extending Merton: The CreditGrades model
15. CreditGrades: the survival probability
16. CreditGrades: The CDS spread
17. Reduced form models
18. Building blocks
19. Default intensity
20. Default intensity examples (1)
21. Default intensity examples (2)
22. Default intensity examples (3)
23. Deafault intensity examples (4)
24. Linking reduced and structural models
25. Recovery rates
26. Summary of intensity models
27. Epilogue: structural vs reduced form models
28. References (1)
29. 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

Links

Series:

• Quantitative Financial Risk Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on October 1, 2007
• Archived on April 4, 2022