Enterprise Risk Management Slides

Credit Risk [27]

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Bullet points include: In principle straightforward given suitable assumptions about the price / return process Vt. E.g. Black-Scholes assumption that Vt follows geometric Brownian motion (Gauss-Weiner process). Then values of equity and debt derivable using Black-Scholes option pricing formulae

Bullet points include: In principle straightforward given suitable assumptions about the price / return process Vt. E.g. Black-Scholes assumption that Vt follows geometric Brownian motion (Gauss-Weiner process). Then values of equity and debt derivable using Black-Scholes option pricing formulae

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