Measuring and managing market, credit and Op risk [58]

Go to: Summary | Previous | Next   
Bullet points include: Strengths Easy to develop very consistent model Easy to produce model that can be used for both short and long holding periods Weaknesses Difficult to apply to borrowers without quoted equity, e.g. sovereigns Cannot be easily integrated with internal ratings or scoring systems Places heavy reliance on equity valuations, which may be relatively unconnected with credit quality or credit valuations E.g. potential decline in goodwill in event of default is poorly handled

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile