Enterprise Risk Management Slides

Measuring and managing market, credit and Op risk [61]

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Bullet points include: How should we parameterise these models and what should we use for Correlations? Ratings or default probabilities? Transition matrices? Can we use the same inputs across countries / sectors? Should we ignore interest rate and FX risk? Integration with other asset types (and with other datasets)

Bullet points include: How should we parameterise these models and what should we use for Correlations? Ratings or default probabilities? Transition matrices? Can we use the same inputs across countries / sectors? Should we ignore interest rate and FX risk? Integration with other asset types (and with other datasets)

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