Default Risk

Dowd, Kevin

doi:10.1002/9780470061596.risk0415

Encyclopedia of Quantitative Risk Analysis and Assessment 2008

DOI: 10.1002/9780470061596.risk0415

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Default Risk

Kevin Dowd¹

Abstract: This article examines default risk and discusses a number of ways in which it can be assessed. These include the use of credit ratings provided by ratings agencies; contingent claims approaches, including the Merton and Kealhofer, McQuown, and Vasicek (KMV) models; ratings migration approaches, including the CreditMetrics model; and intensity approaches.

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