'Default probabilities' presentation slideshows

Credit Risk

1k views • 70 slides

Credit Risk

Credit Risk. Overview. Estimation of default probabilities Reducing credit exposure Credit Ratings Migration Credit Default Correlation Credit Value-at-Risk Models. Sources of Credit Risk for FI. Potential defaults by: Borrowers Counterparties in derivatives transactions

598 views • 55 slides

Credit Risk

868 views • 48 slides

507 views • 38 slides

Statistical issues with financial market data A: Cross-Section Data:

531 views • 38 slides

511 views • 38 slides

Credit Risk

Credit Risk. Yiling Lai 2008/10/3. Outline. Introduction Credit Ratings Historical Default Probabilities Recovery Rates Estimating Default Probability from Bond Prices Comparison of Default Probability Estimates. Introduction.

327 views • 31 slides

Search for a Metric for Financial Stability By C.A.E. Goodhart

Search for a Metric for Financial Stability By C.A.E. Goodhart It is easier to define, measure, model, analyse and control price stability than to do so for financial stability.

263 views • 12 slides

CAP and ROC curves

CAP and ROC curves. Cumulative Accuracy Profiles (CAP) . We first rank companies by their default probabilities (i.e., credit scores) as predicted by the model, from highest to lowest.

775 views • 10 slides

CAP and ROC curves

CAP and ROC curves. Cumulative Accuracy Profiles (CAP). We first rank companies by their default probabilities (i.e., credit scores) as predicted by the model, from highest to lowest.

167 views • 10 slides