Portfolio Credit Risk
About the Lecture
The lecture Portfolio Credit Risk by Edu Pristine is from the course Archiv - Credit Risk (FRM). It contains the following chapters:
- AIM Statements
- Default Correlations
- Correlation based Credit Portfolio Framework
- Credit Value at Risk
- Single Factor Model
- Conditional Independence
- Conditional Default Distribution Variance
- Credit VaR using Single Factor Model
- Realized Market Value
- Credit VaR using Copulas
Author of lecture Portfolio Credit Risk
Edu Pristine
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Excerpts from the accompanying material
... credit portfolio and its Credit Va R. Describe how a single factor model can be used to measure conditional default probabilities given economic health. Compute the variance of the conditional default distribution and the conditional probability of default using a single factor model. ...
... credit portfolio is given by the formula: Where 12 = Default correlation coefficient P 12 = Joint probability of default P 1 and ...
... Credit Portfolio Framework, huge number of calculations required. Certain financial characteristics like guarantees, revolving ...
... credit portfolio risk. How many unique event outcomes are there for ...
... is defined as the quantile of credit loss less the expected loss of the portfolio. Default correlation has an effect on volatility and ...
... What is the extreme loss given default and credit Va R at 95% confidence level if probability of default ...
... In case of the default, each of the credits has a zero recovery rate. Each credit is equally weighted and terminal value of each credit is $2000 if there ...
... firm's standard deviation of idiosyncratic risk ... Model assumes that firm will default ...
... is conditional independence. According to the concept of conditional independence, once the asset ...
... as follows: Symbol represents standard normal distribution function ...
... Single Factor Model .The firm has a beta of 0.6 ...
... default correlation for any pair of firms is defined as: Where (k, k) represents the probability of joint default of two ...
... Credit Va R . The steps to determine credit Va R are as follows: The default loss level is assumed to be a random variable x. For a given loss level, the value ...
... is the realized market value used to compute the probability of reaching ...
... how the defaults are correlated with one another using simulated results. Copula methodology can be used to compute credit Va R with the ...
