portfolio-credit-risk

  1. Nicole Seaman

    P2.T6.24.11. Correlation-based credit, credit portfolio framework, and Credit VaR

    Learning Objectives: Define and calculate default correlation for credit portfolios. Identify drawbacks in using the correlation-based credit portfolio framework. Assess the impact of correlation on a credit portfolio and its Credit VaR. Describe the use of a single-factor model to measure...
  2. enjofaes

    Example 7.2 Portfolio Credit Risk

    Don't get example 7.2 in the books: Consider a portfolio containing five positions: A five-year senior secured bond issued by Ford Motor Company A five-year subordinatte unsecured bond issued by Ford Motor Company Long protection in a five-year CDS on Ford Motor Credit Company A five-year...
  3. K

    Malz Chapter 8:Portfolio Credit Risk

    Dear David, Regarding AIM: Assess the effects of correlation on a credit portfolio and its Credit VaR in Malz Chpater 8, could you kindly explain how the number of defaults are calculated in the example provided? Many thanks, Karine
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