Credit Risk [10]

Go to: Summary | Previous | Next   
Bullet points include: Simulate ratings, Value at horizon conditional on rating, Sum exposures to get portfolio value, Repeat many times (Monte Carlo simulation) to estimate distribution. N.B. Currently well-rated names typically deteriorate in credit quality through time, Opposite true for currently poorly rated names, if they survive

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile