文章详情

Yesterday we published a new movie (1 hour 15 min): An Introductionto Credit Risk (Part 1). This movie reviews Chapters 2 & 3 in Measuring and Managing Credit Risk byde Servigny and Renault. We review agency ratings, the Merton Model,KMV’s adaptation of the Merton model, credit scoring models (e.g.,linear discriminant analysis, k-Nearest neighbor), decision rules(e.g., Bayes’ minimum-error rule), and performance measures (CAP andROC).