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Tag: Introduction to Credit Risk Management

Posted on May 18, 2016January 21, 2017

Week 7: CDS, Stress Testing and CVA/DVA

Week 7: CDS, Stress Testing and CVA/DVA

“Introduction … CDS and CDS Spreads … Stress Testinge”
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Posted on May 18, 2016January 21, 2017

Week 6: Default Probabilities – Part 3

Week 6: Default Probabilities – Part 3

“Introduction … CreditMetrics … C-VaR and F-IRB Capital Requirements … Credit Risk Plus”
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Posted on May 18, 2016January 21, 2017

Week 5: Default Probabilities – Part 2

Week 5: Default Probabilities – Part 2

“Introduction … Merton’s Model P1 … Merton’s Model P2 … The KMV Model”
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Posted on May 18, 2016January 21, 2017

Week 4: Default Probabilities – Part 1

Week 4: Default Probabilities – Part 1

“Introduction … Introduction and Overview … External Credit Ratings … Internal Ratings and Recovery Rates”
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Posted on May 18, 2016January 21, 2017

Week 3: The Value-at-Risk

Week 3: The Value-at-Risk

“Introduction … Introducing Value-at-Risk … Special VaRs and the Expected Shortfall … Coherent Measures of Risk and Back-testing”
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Posted on May 18, 2016January 21, 2017

Week 2: Approaching Credit Risk

Week 2: Approaching Credit Risk

“Introduction … The Standardized Approach … Internal-Rating Based Approaches An Introduction to R”
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Posted on May 18, 2016January 21, 2017

Week 1: Introduction

Week 1: Introduction

“Introduction … Credit Risk … Basel II … Basel III”
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Posted on May 18, 2016January 21, 2017

Week 0: Welcome

Week 0: Welcome

“Welcome”
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Posted on May 18, 2016January 21, 2017

DelftX: TW3421x Credit Risk Management

DelftX: TW3421x Credit Risk Management

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