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About IEOR E4731: Credit Risk and Credit Derivatives: Lecture 13: A General Picture of Portfolio Credit Risk Modeling
This document discusses two main approaches to portfolio credit risk modeling: bottom-up and top-down. The bottom-up approach models the default risk of individual obligors and builds the portfolio loss by specifying correlation structures between obligors. Intensity-based models are discussed as part of the bottom-up approach. The document also discusses how to model default intensities, compute portfolio loss distributions, and test intensity-based models using empirical default data.
Detailed Information
| Author: | ['Jessica Henderson'] |
|---|---|
| Publication Year: | 2014 |
| Pages: | 27 |
| Language: | English |
| Format: | |
| Price: | FREE |
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