**2. Structural models of credit risk**

The main goal of structural models is the objective quantification of credit risk. Objective in the sense is that the process of quantification is not an individual decision of any individual or group of people. On the contrary, the estimation of this risk is the outcome of model, which attempts to describe the causality between the attributes of a particular company applying for a loan (or a company that has already acquired the loan) and the threat that the company will fall into default. We consider market value of its assets to be the main attribute of this company.

The causality mentioned above does not only mean an empirical analysis based on the big set of data and on the choice of proper variables for these data. Correlation does not have to mean causality and prediction. The objective of structural models is to capture the relationship between company fundamentals and the probability of default from time point of view, based on the current market information. The model can then provide a warning of increasing level of credit risk (increasing probability of default) based on changes in company fundamentals. This fact reflects the fundamental and the most important difference between structural and reduced form credit risk models.

Structural models are based on modern financial theory, more precisely on the option pricing theory. The initials of these models are therefore associated with the names of Myron Scholes, Fischer Black, and Robot Merton. These authors contributed significantly to the valuation of options and also laid the foundations for structural models of credit risk. The idea of Black and Scholes [1] to understand corporate liabilities and shares as a derivate written for some corporate assets is considered by Jones et al. [2] to be an even more valuable asset to academic field than the derivation of European option pricing formula itself. It cannot be argued that their approach is the first attempt to quantify credit risk, in particular, the risk of default.

The work of Merton is followed, for example, by Geske [3], who predicts the heterogeneous structure of the company's obligations. This means that he puts both coupon and noncoupon bonds on the side of liabilities. Credit risk is then subsequently valued with the help of barrier option on the company's assets.

Later, the so-called FPT models raised into prominence. Unlike Merton and Geske, they do not assume absolute priority of creditors in the case default, but they work with the idea that part of the value of assets is spent on the costs of bankruptcy or other charge [4]. These assumptions are expressed with the use of coefficients obtained by the empirical observations of defaulted companies and their recovery rates. FPT models assume either a deterministic or stochastic default barrier.

The deterministic barrier is not a constant and it is a function of time, resp. interest rate is a function of time. This type of barrier is used, for example, by Black and Cox [5].

According to Cisko and Klieštik [6], we can divide the structural models into:

