This chapter reviews structural credit risk models. Special emphasis is on the distinction between endogenous default versus exogenous default and the economic implications of the different assumptions. It is argued that models with endogenous default provide more insight into the default process. On the other hand, assuming exogenous default gives the flexibility to include certain features that are observed in actual credit markets.
CITATION STYLE
Imerman, M. B. (2013). Structural Credit Risk Models: Endogenous Versus Exogenous Default. In Encyclopedia of Finance (pp. 645–657). Springer US. https://doi.org/10.1007/978-1-4614-5360-4_56
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