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FRM 2006-Loss Given Default
Today’s 45-minute movie has been published for subscribers of our2006 FRM service. The movie is Credit Risk Intro - Part 2. We reviewthree chapters from de Servigny’s book, Measuring and Managing Credit Risk.This includes loss given default (LGD), an important concept that is acomponent of Basel II’s internal rating-based (IRB) approach togenerating the capital requirement (K):
Also,we review the highlights of the credit risk portfolio models; i.e.,CreditMetrics, CreditPortfolioView, Portfolio Risk Tracker, PortfolioManager, and CreditRisk+. One way to categorize these models is alongthe following dimensions:
Wealso look at the very important concept of economic loss, which is thedifference between value at risk (VaR) and expected loss:
Finally we recap strategic capital allocation, where de Servigny argues that a top-down approach should precede (come before) a bottom-up approach.
Also,we review the highlights of the credit risk portfolio models; i.e.,CreditMetrics, CreditPortfolioView, Portfolio Risk Tracker, PortfolioManager, and CreditRisk+. One way to categorize these models is alongthe following dimensions:
Wealso look at the very important concept of economic loss, which is thedifference between value at risk (VaR) and expected loss:
Finally we recap strategic capital allocation, where de Servigny argues that a top-down approach should precede (come before) a bottom-up approach.