Schroeck, Chapter 5: Capital Structure in Banks is a 50-minute instructional video analyzing the following concepts:
Evaluate a bank’s economic capital relative to its level of credit risk
Identify and describe important factors used to calculate economic capital for credit risk: probability of default, exposure, and loss rate.
Define and calculate expected loss (EL).
Define and calculate unexpected loss (UL).
Estimate the variance of default probability assuming a binomial distribution.
Calculate UL for a portfolio and the UL contribution of each asset.
Describe how economic capital is derived.
Explain how the credit loss distribution is modeled.
Describe challenges to quantifying credit risk