Value at Risk - Ch.18: Credit Risk Management (Excluding Appendices)


#1

Reading Source: Textbook - Value at Risk

Topics Covered in this Reading:

  • The Nature of Credit Risk
    • The Sources of Risk
    • Credit Risk as a Short Option
    • Portfolio Effects
  • Default and Recovery Risk
    • Default Risk
    • Recovery Risk
    • Market-Based Models
    • Default Comovements
  • Credit Exposure
    • Bonds versus Derivatives
    • Expected and Worst Exposure
    • Netting Arrangements
  • Measuring Credit Risk
    • Pricing Credit Risk
    • Portfolio Credit Risk
    • Horizon and Confidence Levels
    • Credit-Risk Distribution
  • Managing Credit Risk
    • Risk Concentrations
    • Portfolio Credit Risk Models
    • Regulatory Capital
  • Conclusions

Value at Risk - Ch.18: Credit Risk Management (Excluding Appendices)