Module 37.4 LOS 37.d: Option Analogy of Structural Models of Debt and Reduced Form Models
Structural models of credit risk rely on the option pricing theory and analysis of the company’s balance sheet. They help …
structural model
Module 34.6 LOS 34.k: Modern Term Structure Theory Differences
Structural Model Structural models of credit risk are based on issuer balance sheets and option pricing theory. The oft-given analogy …