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- Document type:
- Diplomarbeit
- Author(s):
- Linezki, Denis
- Title:
- Structural Credit-Risk Models
- Abstract:
- This thesis covers the most important representatives of structural credit-risk models which deal with pricing of bonds and credit derivatives. In order to evaluate a firm's default probability, this model class focuses exclusively on data which are specific to this firm. The following structural-default models are presented: Merton's pathbreaking model, the KMV approach marketed by Moody's, the model of Black & Cox, and finally, Zhou's jump-diffusion approach. All these models represent the paths in which research of structural-default models has moved over the last four decades. This work examines similarities and differences between the crucial structural credit-risk models. The main aim is to describe each model, its assumptions, and its key benefits and limits.
- Advisor:
- Prof. Dr. Rudi Zagst
- Referee:
- Prof. Dr. Matthias Scherer
- Year:
- 2010
- Language:
- en
- University:
- Technische Universität München
- Faculty:
- Fakultät für Mathematik
- Format:
- Text
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