Enterprise Risk Management Slides

Credit Risk [37]

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Bullet points include: How should we parameterise these models? What should we use as inputs 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? What VaR (or TVAR ...) confidence level and holding period to use? Integration with other asset types (and with other datasets)

Bullet points include: How should we parameterise these models? What should we use as inputs 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? What VaR (or TVAR ...) confidence level and holding period to use? Integration with other asset types (and with other datasets)

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