DEFAULT RISK
Риск дефолта (кредитный риск) - англ. Default Risk (Credit Risk), риск того, что компания или частное лицо будет неспособно произвести необходимые платежи по своим долговым обязательствам. Кредиторы и инвесторы подвержены риску дефолта фактически при всех формах кредитных отношений. Чтобы снизить воздействие кредитного риска, кредиторы часто устанавливают такие процентные ставки, которые соответствуют уровню риска дефолта заемщика. Чем выше риск, тем выше будет процентная ставка и наоборот.
Default risk is the chance that companies or individuals will be unable to make the required payments on their debt obligations. Lenders and investors are exposed to default risk in virtually all forms of credit extensions. To mitigate the impact of default risk, lenders often charge rates of return that correspond the debtor’s level of default risk. A higher level of risk leads to a higher required return.
Default risk is the chance that companies or individuals will be unable to make the required payments on their debt obligations. Lenders and investors are exposed to default risk in virtually all forms of credit extensions. To mitigate the impact of default risk, lenders often charge rates of return that correspond the debtor’s level of default risk. A higher level of risk leads to a higher required return.
Similar to our method, in this approach, risk-neutral valuation is used to account for the embedded call options in debt contracts to recover underlying default risk
Default risk can change as a result of broader economic changes or changes in a company’s financial situation.
Default risk can change as a result of broader economic changes or changes in a company’s financial situation.
