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| Modelli di rischio di credito (Merton, KMV, CreditMetrics)× | Modelli di Rischio di Liquidità (Amihud, Roll, LOT)× | |
|---|---|---|
| Campo | Finanza | Finanza |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 1974 | 2002 |
| Ideatore≠ | Robert C. Merton (structural model); J.P. Morgan / Gupton et al. (CreditMetrics) | Amihud (2002); Roll (1984); Lesmond, Ogden & Trzcinka (LOT) |
| Tipo≠ | Structural and portfolio credit risk model | Liquidity / illiquidity measurement models |
| Fonte seminale≠ | 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 ↗ | Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, 5(1), 31-56. DOI ↗ |
| Alias≠ | Merton model, KMV model, CreditMetrics, structural credit risk model | Amihud illiquidity, Roll spread estimator, LOT spread measure, Lesmond-Ogden-Trzcinka measure |
| Correlati | 5 | 5 |
| Sintesi≠ | 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. | Liquidity Risk Models are a family of measures that quantify how easily an asset trades by capturing its price impact, its effective bid-ask spread, and a holding-period adjustment. The family brings together the Amihud illiquidity ratio (Amihud, 2002), the Roll serial-covariance spread estimator (Roll, 1984), and the LOT (Lesmond-Ogden-Trzcinka) realised-spread measure. |
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