Dear All,
This is Maithreyi here. I have just registered myself with this forum.
I am trying to learn Credit Risk. However, I am really confused as how to start? Is it possible to suggest some site which will help me understand and clarify my concepts. I was going through some literature by Mr David Harper. e.g. Friday's Movie: Advanced Credit Risk(1st of 2). The literature contains a graph which suggests that the Unexpected Loss is
Unexpected Loss = Credit VAR - Expected Loss
But it also suggests that Economic Capital = VAR(alpha) - EL(p)
(1) So is that economic Capital same as Unexpected Loss?
(2) Is it that Credit VAR is different from VAR(alpha)?
Please guide me.
Thanking in advance
Maithreyi
(.(JavaScript must be enabled to view this email address))
