The Structural Approach and Default Risk

Arsalan Azamighaimasi

Abstract


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.

Full Text: PDF DOI: 10.5430/ijfr.v4n1p66

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This work is licensed under a Creative Commons Attribution 3.0 License.

International Journal of Financial Research
ISSN 1923-4023(Print) ISSN 1923-4031(Online)

 

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