Credit Risk Measurement and Management
The Credit Risk Measurement and Management module is broken down into the following elements:
- Bankruptcy and default.
- Credit spreads.
- Probability of default.
- Loss given default and recovery rates.
- Expected and unexpected loss.
- Credit scores.
- External credit ratings.
- Internal credit ratings.
- Contingent claim approach and the KMV model.
- Default and default time correlations.
- Portfolio credit risk.
- Credit risk management models.
- Risk mitigation techniques (including netting, rating triggers, and collateral).
- Credit default swaps.
- Securitisation.
- Special purpose vehicles.
- Collateralized Debt Obligations (pricing and risk management).
- Counterparty risk.
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