Tutorial CIFER-T1 Frontiers of computational engineering and finance: Modeling and calibrating credit risk

We start discussing the main components of credit risk frameworks which require to model default probability, loss given default and their product which generates the credit spreads. We discuss how credit spreads are related to default risk. We review the main approaches to credit risk modeling including structural frameworks, intensity based methods and models with incomplete information which combine the best features of the previous two approaches.