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Standalone risk calculation
Portfolio risk calculation
Differing exposure types
14 other sections not shown
AA A BBB AAA AA Altman amount approach asset correlations asset retums asset value Banking and ﬁnance BB B CCC BBB BB BBB rated calculation cash ﬂows CDAX changes in value Chapter Chart compute conﬁdence bands counterparty coupon credit portfolio credit quality changes credit quality migration credit rating migration credit risk credit spread CreditMetrics debt default correlations default likelihood deﬁned dirty price discuss diversiﬁcation drawdown due to credit economic capital example portfolio expected loss exposure types ﬁle ﬁnancial ﬁrm ﬁrm’s ﬁrst ﬁt Index SET industry issuer joint likelihoods letter of credit limits loan marginal risk marginal standard deviation market-driven instruments methodology Moody’s MSCI normal distribution obligor ofthe percentile level portfolio risk portfolio standard deviation recovery rate revaluation risk estimation risk horizon risk measures RiskMetrics single-A speciﬁc stand-alone statistics swap Table thresholds tion Topix transition matrix transition probabilities up(down)grade volatility of value year-end