Measuring and managing market, credit and Op risk [52]

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Bullet points include: Strengths Ratings specifically designed to reflect credit quality Data on ratings agency ratings available over several decades Can also base modelling on internal ratings or scoring systems for wide set of exposures Weaknesses Assumption of constant spreads No consistency built in between transition matrices and prices at horizon Not obvious how to set correlations Dependent on reliability (and time stationarity) of ratings

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