This learning series introduces the reader to the key components of credit loss distribution. These components are credit loss, the default probability and recovery rate.
Foundations of Credit Risk Modelling
6 chapters
Chapters
- 1What is Default Risk?Read free
- 2Exposure, Default and Recovery RatesRead free
- 3Expected Loss, Unexpected Loss, and Loss DistributionRead free
- 4Understanding Recovery RatesRead free
- 5Factors Affecting Recovery RatesRead free
- 6Using Beta Distribution for Estimating Recovery RatesRead free