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A Comparison of Credit Risk Models Risk Theory

In this paper we present the most important models of credit risk. We begin by a description of classical structural models that make use of an analogy of option pricing models. Then we proceed by reduced-form (or, intensity) models, which are market-based and in general show better prediction possibilities. A very recent stream of reconciliation models that tries to incorporate both classical approaches is explained afterwards. Finally, we define and theoretically analyse a new, behavioral model of credit risk.