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Credit VaR Model
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Subject(s):
- Credit ratings, Risk management
- Item Type:
- Presentation
- Tag(s):
- credit risk, value at risk, VaR
- Permanent URL:
- https://doi.org/10.17613/e25g-1929
- Abstract:
- Credit value at risk (VaR) is used for measuring and analyzing credit risk of a portfolio. The basic methodology of the Credit VaR employs the credit migration approach spearheaded by RiskMetrics. It assumes that obligor’s credit quality is determined by the obligor’s asset value, which in turn is approximated by its standardized equity return.
- Notes:
- https://issuu.com/davidlee1203
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 3 weeks ago
- License:
- Attribution
- Share this:
Open access, open source, open to all
creditvar.pdf