The credit-risk tag has no wiki summary.
6
votes
1answer
124 views
+50
Is Unexpected Loss ever used in Basel II?
In Basel II, EL is useful. It's calculated as
$$EL = PD \cdot EAD \cdot LGD $$
in advance IRB (internal rate-based approach),
Correlation
$$R = 0.12 \frac{1 – e^{-50 \cdot PD}}{1 – e^{-50}}
+ 0.24 ...
2
votes
2answers
113 views
Hedging credit risk using Put equity options
I am looking for some paper or similar which deal with this topic: hedging bankruptcy on firm's debt using Put options written on that firm's equity price.
This should be based on the assumption that ...
0
votes
2answers
109 views
Credit risk data
I am trying to get historical data for credit risk and do some analysis on it as a school project. I thought CDX index might be a good proxy for typical credit risk data, but I am not sure. Typically ...
3
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0answers
153 views
What makes IRC a market risk?
Since modeling leaves complete freedom we can assume both market and credit risks can enter the picture. However the minimum requirement is (migrations and) defaults simulation, how does this ...
