Credit Risk
Credit risk, transition probabilities for credit ratings, credit quality thresholds, credit scorecards
Credit risk refers to the risk that a borrower may default on any type of debt by failing to make required payments. This toolbox provides a collection of tools for modeling credit risk analysis. These include modeling transition probabilities from credit rating data, converting transition probabilities to credit quality thresholds, and credit scorecard modeling.
Frequently Viewed Topics
- Estimation of Transition Probabilities
- Credit Scorecard Modeling Workflow
- Case Study for Credit Scorecard Analysis
- Bootstrapping a Default Probability Curve
- Valuing an Existing CDS Contract
- Finding Breakeven Spread for New CDS Contract
- Counterparty Credit Risk and CVA (Financial Instruments Toolbox)
- Wrong Way Risk with Copulas (Financial Instruments Toolbox)
Categories
- Estimate Transition Probabilities
Estimate change in credit quality, model transition probabilities from credit rating data
- Determine Credit Quality Thresholds
Convert transition probabilities to credit quality thresholds and the opposite way
- Create Credit Scorecards
Credit scorecard modeling, binning, fitting a model, obtaining points and scores, model validation, probability of default, create compact scorecard
- Credit Default Swaps
Bootstrap CDS probability curve, price, and determine CDS price and spread
- Bootstrap Default Probabilities from Bonds
Bootstrap default probability curve from bond market prices
- Counterparty Credit Risk
Counterparty credit risk models for exposures for calculating credit value adjustment (CVA)