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雷达卡
Contents
1. Introduction to CREDITRISK+ 3
1.1 Developments in Credit Risk Management 3
1.2 Components of CREDITRISK+ 3
1.3 The CREDITRISK+ Model 4
1.4 Economic Capital 4
1.5 Applications of CREDITRISK+ 5
1.6 Example Spreadsheet Implementation 5
2. Modelling Credit Risk 6
2.1 Risk Modelling Concepts 6
2.2 Types of Credit Risk 7
2.3 Default Rate Behaviour 8
2.4 Modelling Approach 9
2.5 Time Horizon for Credit Risk Modelling 10
2.6 Data Inputs to Credit Risk Modelling 11
2.7 Correlation and Incorporating the Effects of Background Factors 14
2.8 Measuring Concentration 16
3. The CREDITRISK+Model 17
3.1 Stages in the Modelling Process 17
3.2 Frequency of Default Events 17
3.3 Moving from Default Events to Default Losses 18
3.4 Concentration Risk and Sector Analysis 20
3.5 Multi-Year Losses for a Hold-to-Maturity Time Horizon 21
3.6 Summary of the CREDITRISK+ Model 22
4. Economic Capital for Credit Risk 23
4.1 Introduction to Economic Capital 23
4.2 Economic Capital for Credit Risk 23
4.3 Scenario Analysis 24
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