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Probability of default in collateralized credit operations

✍ Scribed by Divino, Jose Angelo; Rocha, Líneke Clementino Sleegers

Book ID
122946364
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
445 KB
Volume
25
Category
Article
ISSN
1062-9408

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Reduced form model is one of the most popular models for studying credit risks. The key parameter in these models is the default probability. Under the assumption that default is exogenous, it is quite easy to compute the default probability through a statistical model. In this article, we argue tha