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Foundations of Credit Risk Modelling

6 lessons

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.

What's inside

  1. 1What is Default Risk?Free
  2. 2Exposure, Default and Recovery RatesFree
  3. 3Expected Loss, Unexpected Loss, and Loss DistributionFree
  4. 4Understanding Recovery RatesFree
  5. 5Factors Affecting Recovery RatesFree
  6. 6Using Beta Distribution for Estimating Recovery RatesFree