Credit Risk [8]

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Bullet points include: Basic objective: to supply statistics on portfolio value distribution (such as VaR, TVaR, expected loss, probability of a given loss, ...). At some future date T, given information available at initial date (now), i.e. t. Two basic elements: Model of the stochastic evolution of credit quality between t and T, Model the value of the credit exposures at the future time T conditional on their credit quality at that time

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