Structural Vs Reduced Form Models of Credit Risk
1. Context
In this video from the FRM Part 2 curriculum, we explore the differences between two broad categories of credit risk models: Structural Models and Reduced Form Models. We take a look at how each of these type of models work and their respective pros and cons. For more information about the FRM Part 2 preparation course, please visit the course page.
| Area | Credit Risk |
| Reading | Ratings Assignment Methodologies |
| Reference | Giacomo De Laurentis, Renato Maino, and Luca Molteni, Chapter 3. Ratings Assignment Methodologies In Developing, Validating and Using Internal Ratings, (West Sussex, United Kingdom: John Wiley & Sons, 2010). |