Instructional Video: Malz, Chapter 8: Portfolio Credit Risk

Malz, Chapter 8: Portfolio Risk is a 41 minute instructional video analyzing the following concepts:

* Define default correlation for credit portfolios.
* Identify drawbacks in using the correlation-based credit portfolio framework.
* Assess the effects of correlation on a credit portfolio and its Credit VaR.
* Describe the use of a single factor model to measure portfolio credit risk, including the impact of correlation.
* Describe how Credit VaR can be calculated using a simulation of joint defaults with a copula.

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