Nematrian
/


Measuring and managing market, credit and Op risk [8]

Go to: Summary | Previous | Next   
Bullet points include: Losses employed in risk measures may be defined in a variety of ways Credit risk modelling Commonly define loss as default-free value of exposure less actual future value Market risk modelling Commonly define loss as current mark-to-market less future (MTM) value At issue is how we take account of ‘expected’ losses versus ‘unexpected’ losses (and how we might quantify the former)

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile