Credit Risk Portfolio Models

[ajsa]

Hi David,

I have found the following AIMs are difficult to grasp..
"Compare and contrast different applications of credit portfolio approaches including Moody’s KMV Portfolio Manager, CreditMetrics, CreditRisk+, the McKinsy/Wilson Model, Kamakura’s Portfolio Manager and Altman’s optimization approach."

"Discuss the fundamental differences between CreditRisk+, CreditMetrics and KMV credit portfolio models."

I wonder if you can provide a spreadsheet to compare these models with all the major points candidates need to know for the exam?

Thanks.

 

[David Harper CFA FRM]

Hi ajsa,

Yes, I agree that would be helpful ... and almost necessary given the dispersion of references ... I will add to the "to do list". .. great idea, thank you! David