Analysis of Default Probability : A Comparative Theoretical Approach between the Credit Portfolio View Model and the Creditrisk Model

The main idea of this paper is to study theoretically the different ones from the credit portfolio models mainly two models: the macro-factors models and the actuarial models. There are currently three types of models to consider the risk of credit: the structural models also defined by the models of the value of the firm, the intensity models and the econometric models. In the financial literature, the development of those three types of models is based on a theoretical basis developed by many researchers mainly in the last decade of the twentieth century. The evolution of their default frequencies and the size of the loan portfolio are modeled as functions of macroeconomic and microeconomic conditions as well as unobservable credit risk factors, which explained by other factors. We developed two sections to explain the different characteristics of the macro-factors models and the CreditRisk models