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This presentation is based on a part of an academic course on Enterprise Risk Management (ERM) titled ‘Credit Risk’ and covers topics such as: what is ‘credit’ risk and recent market developments in credit markets, credit portfolio risk models (including ratings-based models, equity-based models and mixture models) and issues with any type of model

Slides

1	Session 5: Credit Risk
2	Session 5: Credit Risk
3	What is credit risk?
4	Market developments
5	Implications of new credit markets
6	Credit portfolio risk models
7	Credit portfolio risk models - typical uses
8	Credit portfolio risk models - basic structure
9	Session 5: Credit Risk
10	Ratings-based models
11	Ratings-based models: components
12	Component 1: transition matrix
13	Example Moody’s transition matrix
14	Component 2: Spreads and interest rates
15	Example spreads
16	Valuation at horizon if no default
17	Component 3: Valuation in defaulted state
18	Component 4: Correlations / joint distribution
19	Ordered probit approach
20	Correlations for latent variables
21	Example
22	Example factor correlations
23	Pros and cons of ratings based models
24	Session 5: Credit Risk
25	Equity-based credit portfolio risk models
26	Equity and debt as options on asset value
27	Pricing equity and debt as options
28	More realistic default behaviour
29	Implementing an equity-based credit risk model
30	Implementing model statistically
31	Default trigger
32	Strengths and weaknesses of equity-based models
33	Session 5: Credit Risk
34	Mixture models (1)
35	Mixture models (2)
36	Session 5: Credit Risk
37	Implementation issues for either type of model
38	Broader issues
39	Important Information

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