Credit Risk - a structural model with correlations and jumps
Thomas Guhr, Universitaet Duisburg-Essen
The present global finanical crisis largely resulted from a
faulty assessment of the risk in economical credits. How can
one measure that? - How can one model credit risk? - How realistic
are these? - We carefully studied a structural model. Our model
goes well beyond the previous ones as it includes in detail
economically important effects such as jumps, correlations, etc.
The connection to the financial crisis will be discussed. Is that
theoretical physics? - Yes. For me, theoretical physics is
mathematical modeling of reproducible events based on empirical information.