Credit Risk [6]

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Bullet points include: Variety of models have been developed, including: Ratings-based models such as RiskMetrics’ CreditMetrics or Standard & Poor’s Portfolio Risk Tracker. Equity-based models such as Moody’s-KMV Portfolio Manager. So-called mixture models such as Credit Suisse’s CreditRisk+ Note: Traditional market risk type models may also include credit exposure factors, Model implementations often also include (credit) derivative pricing model components

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