Credit risk

Mark H. A. Davis

in Mathematical Finance: A Very Short Introduction

Published in print January 2019 | ISBN: 9780198787945
Published online January 2019 | e-ISBN: 9780191829932 | DOI:

Series: Very Short Introductions

Credit risk

More Like This

Show all results sharing these subjects:

  • Economics
  • Mathematics
  • Mathematical Finance


Show Summary Details


Credit risk is the risk that your counterparty might default on future obligations. There are a small number of credit rating agencies operating globally that assign a credit rating to each company under consideration. ‘Credit risk’ explains credit risk modelling and analysis, including credit default swaps, multi-asset credit risk, and collateralized debt obligations. Credit risk models are divided into two main categories: ‘structural form’ and ‘reduced form’. A pervasive problem in credit risk modelling is that while some parameters can be backed out by the calibration process, there are usually others about which the available data is insufficient for us to do anything more than take an educated guess.

Keywords: asset-liability management; binomial expansion; collateralized debt obligation; credit default swap; credit risk; rating agency

Chapter.  5515 words.  Illustrated.

Subjects: Economics ; Mathematics ; Mathematical Finance

Full text: subscription required

How to subscribe Recommend to my Librarian

Buy this work at Oxford University Press »

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content. subscribe or login to access all content.