Credit Risk (10% F, 20% L2)

  Topic Title Replies Views Latest Post Info

Calculate default probabilty (2007 Practice test 1 Question 28)

3 793

HEDGING OR NO HEDGING

1 295

credit risk portfolio models

2 465

Investment Grade ratings

0 229
Posted: 10-22-2008 05:02 PM
Author: sridhar

Type-1 error and Neyman Pearson

3 465

Procyclicality

2 778

Effect on rating on price

2 367

recovery rates analysis

0 180
Posted: 10-21-2008 12:02 PM
Author: .ash.

CLN and CDS

4 1751

Credit Portfolio Models & BIS ASRF Model

1 916

credit exposure

1 287

Internal Ratings Models & Procyclicality [Credit A, slides 36-41]

0 204
Posted: 10-15-2008 04:02 PM
Author: mikey10011

CreditMetrics Bond Pricing [Saunders p. 337]

3 465

Question on volatility of equity

1 366

Inverse of RAROC….

1 326

Unexpected Loss(UL)  & Usage Given Default(UGD)

3 1315

Capital Structure Arbitrage

2 477

Expected Loss

1 410

Credit risk loan

1 430

credit spread, respect to rate of debt

1 330

Credit Part A

6 550

Linear-Disriminant Model

1 410

CDS

1 793

CDS Implied Default Probability

1 4720

Collateralization vs over collateralization

3 1368

Post Marker Legend

Hot Topic with new posts Hot Topic with new posts New Poll New Poll Moved Topic Moved Topic Sticky topic Sticky topic New Topic New Topic
Hot Topic with no new posts Hot Topic with no new posts Old Poll Old Poll Closed Topic Closed Topic Announcements Announcements