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Credit Risk [25]

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Bullet points include: Second main category of credit risk models. E.g. Moody’s-KMV Portfolio Manager. Advantage – may be constructed with great theoretical consistency. Disadvantage – basing everything on equity and liability data may be ill-advised. Their use criticised following bursting of tech bubble. Because equity models had encouraged users to think that tech/telecoms/media (TMT) companies were not risky

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