Enterprise Risk Management Slides

Credit Risk [34]

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Bullet points include: Focus on default risk rather than credit spread risk. Underlying mathematics uses probability generating functions. Assume a factor structure characterised by a vector that defaults by pairs (more generally combinations) of obligors are independent conditional on and that probability of default by obligor conditional on is .Then pgf of default by obligor conditional on is

Bullet points include: Focus on default risk rather than credit spread risk. Underlying mathematics uses probability generating functions. Assume a factor structure characterised by a vector that defaults by pairs (more generally combinations) of obligors are independent conditional on and that probability of default by obligor conditional on is .Then pgf of default by obligor conditional on is

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