credit-metrics

Learning Objectives: Describe and apply the Vasicek model to estimate default rate and credit risk capital for a bank. Describe the CreditMetrics model and explain how it is applied in estimating economic capital. Describe and use the Euler’s theorem to determine the contribution of a loan to...

Learning Objectives: Describe the significance of estimating default correlation for credit portfolios and distinguish between reduced form and structural default correlation models. Describe the Gaussian copula model for time to default and calculate the probability of default using the...