What is Default Risk?- Default risk can be defined as the risk that the counterparty to a transaction does not honor its ob...
COURSE
Foundations of Credit Risk Modelling
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.
- In order to understand default risk, we will analyze the its key components. **Default arrival:** A...
- While the terms expected loss and unexpected loss are commonly used in risk management, it is import...
- The recovery rates are a crucial element for calculating credit risk. The loss given default of an ...
- It is practically impossible to accurately predict the recovery rates. There are various factors tha...
- Most of the people use the beta distribution to model recovery rates. In probability theory and sta...
LESSONS
Exposure, Default and Recovery Rates
Expected Loss, Unexpected Loss, and Loss Distribut...
Understanding Recovery Rates
Factors Affecting Recovery Rates
Using Beta Distribution for Estimating Recovery Ra...
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