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Modelling credit risk (BOE) 2016-10-04

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Introduction
1 Economic capital allocation
  • Probability density function of credit losses
  • Calculating joint loss distribution using the Vasicek model
  • The Vasicek model and portfolio invariance
2 Structural credit risk models
  • Equity and debt as contingent claims
  • Asset value uncertainly
  • Estimating the probability of default
  • Applying the Merton model
3 Reduced form models
  • Default intensity
  • Contingent convertible capital instruments
  • Pricing CoCo bonds
4 Counterparty credit risk
  • Credit value adjustments
  • Expected exposures with and without margins
References
Appendix
Author
David Harper CFA FRM
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Thanks - succint and useful! Thanks for posting :)
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