COURSE

Foundations of Credit Risk Modelling

Lessons

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