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Hull, J.C. and White, A. (2004) Valuation of CDO and an nth to Default CDS without Monte Carlo Simulation. Rotman School of Management, University of Toronto, Toronto.

has been cited by the following article:

• TITLE: Quantitative Structural Models to Assess Credit Risk on Individuals

  AUTHORS: Akorede K. Oluwo, Enrique Villamor

  KEYWORDS: Merton Structural Model, Individual Default Intensities, Hazard Rate for Individuals, Individual Risk Premium

  JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.10 No.7, July 29, 2022

  ABSTRACT: Default Probabilities quantitatively measures the credit risk that a borrower will be unable or unwilling to repay its debt. An accurate model to estimate, as a function of time, these default probabilities is of crucial importance in the credit derivatives market. In this work, we adapt Merton’s [1] original works on credit risk, consumption and portfolio rules to model an individual wealth scenario, and apply it to compute this individual default probabilities. Using our model, we also compute the time depending individual default intensities, recovery rates, hazard rate and risk premiums. Hence, as a straight-forward application, our model can be used as novel way to measure the credit risk of individuals.