Enterprise Risk Management Slides

Creating and validating risk models [7]

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Bullet points include: Credit migration based approaches: e.g. RiskMetrics, Algorithmics Equity-based approaches: e.g. Moody’s-KMV ‘Actuarial’: e.g. Credit Suisse Reduced form approach: e.g. E.g. Jarrow/Turnbull, Duffie/Singleton (hazard rates) Some suppliers not associated with particular methodologies E.g. Sungard, Reuters, SAS

Bullet points include: Credit migration based approaches: e.g. RiskMetrics, Algorithmics Equity-based approaches: e.g. Moody’s-KMV ‘Actuarial’: e.g. Credit Suisse Reduced form approach: e.g. E.g. Jarrow/Turnbull, Duffie/Singleton (hazard rates) Some suppliers not associated with particular methodologies E.g. Sungard, Reuters, SAS

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