Open AccessThe Structural Approach and Default Risk
Author(s) -
Arsalan Azamighaimasi
Publication year - 2012
Publication title -
international journal of financial research
Language(s) - English
Resource type - Journals
eISSN - 1923-4031
pISSN - 1923-4023
DOI - 10.5430/ijfr.v4n1p66
Subject(s) - econometrics , value (mathematics) , credit risk , probability of default , risk model , focus (optics) , economics , point (geometry) , default risk , actuarial science , mathematical economics , computer science , mathematics , statistics , geometry , optics , physics
This paper studied and developed credit risk models. Specifically, it focuses on the Merton model, its extensions model, and the way to survey new structural approach. Firstly, this paper has described the Merton model. And then, it has reviewed the first-passage model with more focus on default point. Finally, we considered the new structural approach which stressed that if the firm’s value passes the threshold level b, the firm’s value will continues unless the value process crosses and spends an exogenous quantity of time b ̅ below. We have used the Yildiray Yildirim model and ruin probability