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Table of Contents
Part I Risk Measurement Framework
Chapter 1. Introduction to CreditMetrics 5
1.1 The portfolio context of credit 5
1.2 Types of risks modeled 8
1.3 Modeling the distribution of portfolio value 8
1.4 Different credit risk measures 15
1.5 Exposure type differences 17
1.6 Data issues 20
1.7 Advanced modeling features 21
Chapter 2. Stand-alone risk calculation 23
2.1 Overview: Risk for a stand-alone exposure 23
2.2 Step #1: Credit rating migration 24
2.3 Step #2: Valuation 26
2.4 Step #3: Credit risk estimation 28
2.5 Choosing a time horizon 31
Chapter 3. Portfolio risk calculation 35
3.1 Joint probabilities 36
3.2 Portfolio credit risk 38
3.3 Marginal risk 40
Chapter 4. Differing exposure types 41
4.1 Receivables 42
4.2 Bonds and loans 43
4.3 Loan commitments 43
4.4 Financial letters of credit (LCs) 46
4.5 Market-driven instruments
Part II Model Parameters Part III Applications
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