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Financial Risk: Credit Risk, Lecture 1: Alexander Herbertsson PDF

36 Pages·2012·English
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by ['bhabani348']| 2012| 36 pages| English

About Financial Risk: Credit Risk, Lecture 1: Alexander Herbertsson

This document provides an overview of static portfolio credit risk models. It begins with definitions of credit risk and its key components, including default dependency risk. It then discusses the importance of modeling default dependency in portfolio credit risk models. Next, it introduces the binomial model for an independent, homogeneous credit portfolio. In this model, the number of defaults follows a binomial distribution. It also discusses the thin tails of the binomial distribution due to the independence assumption. Finally, it provides context on further models that will be covered in the next lecture to account for default dependency.

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Author:['bhabani348']
Publication Year:2012
Pages:36
Language:English
Format:PDF
Price:FREE
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