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Credit Risk Modelling : The Basics October 4, 2009 By: A V Vedpuriswar
Introduction to Credit Risk Modelling ,[object Object],[object Object],[object Object]
Market Risk vs Credit Risk Modelling ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Data ,[object Object],[object Object],[object Object]
Liquidity ,[object Object],[object Object],[object Object],[object Object],[object Object]
Distribution of losses ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Correlation & Diversification   ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Expected, unexpected and stress losses
Expected Loss ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Unexpected loss ,[object Object],[object Object],[object Object],[object Object],[object Object]
Stress Losses ,[object Object],[object Object],[object Object]
Measuring Credit loss ,[object Object],[object Object],[object Object],[object Object],[object Object]
Default mode paradigm ,[object Object],[object Object],[object Object],[object Object],[object Object]
Mark-to-market (MTM) paradigm ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Mark-to-market paradigm approaches ,[object Object],[object Object],[object Object]
Discounted Contractual Cashflow Approach ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Risk-Neutral Valuation Approach ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Structural and Reduced Form Models
Structural Models ,[object Object],[object Object],[object Object],[object Object]
Reduced Form Models ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Reduced Form Models   ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Correlations ,[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Credit Risk Models ,[object Object],[object Object],[object Object],[object Object]
Merton and KMV models
The Merton Model ,[object Object],[object Object],[object Object],[object Object],[object Object]
The payoff has two components ,[object Object],[object Object],[object Object],[object Object]
Value of the put ,[object Object],[object Object],[object Object]
Value of equity ,[object Object],[object Object],[object Object],[object Object]
Valuing the put option ,[object Object],[object Object],[object Object],[object Object],[object Object]
Valuing the call option ,[object Object],[object Object],[object Object],[object Object]
Problem  ,[object Object]
Solution  ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Solution  ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Problem ,[object Object]
Solution  ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Complex capital structures ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
KMV Model ,[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],KMV Model
[object Object],[object Object],[object Object],[object Object],[object Object],KMV Model
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],KMV Model
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Problem
[object Object],[object Object],[object Object],[object Object],[object Object],Solution
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Problem
[object Object],[object Object],[object Object],Solution

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