Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Krediidiriski mudelid (Merton, KMV, CreditMetrics)× | Intressimudelite (Vasicek, CIR, Nelson-Siegel) perekond× | |
|---|---|---|
| Valdkond | Rahandus | Rahandus |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 1974 | 1977 |
| Looja≠ | Robert C. Merton (structural model); J.P. Morgan / Gupton et al. (CreditMetrics) | Vasicek (1977); Nelson & Siegel (1987) |
| Tüüp≠ | Structural and portfolio credit risk model | Term-structure / short-rate model |
| Algallikas≠ | Merton, R. C. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance, 29(2), 449-470. DOI ↗ | Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188. DOI ↗ |
| Rööpnimetused≠ | Merton model, KMV model, CreditMetrics, structural credit risk model | term structure models, short-rate models, yield curve models, Vasicek model |
| Seotud | 5 | 5 |
| Kokkuvõte≠ | Credit risk models estimate the probability that a borrower defaults and the resulting distribution of credit losses. The structural approach was introduced by Robert C. Merton in 1974, treating a firm's equity as a call option on its assets, and was later extended into the KMV distance-to-default framework and the CreditMetrics rating-transition portfolio model published by J.P. Morgan in 1997. | Interest rate models are structural models that describe how interest rates evolve over time within a stochastic differential equation framework. The family covers Vasicek's normal short-rate process (1977), the CIR square-root process, the adjustable Hull-White extension, and the Nelson-Siegel approach to fitting the yield curve (1987). |
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