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The basics of portfolio credit risk

Name: The basics of portfolio credit risk
Creator: Antulio N. Bomfim

descriptionPublicationkeyboard_double_arrow_right Part of book or chapter of book , Other literature type 01 Jan 2005Publisher:Elsevier BV

Authors: Antulio N. Bomfim;

doi: 10.1016/b978-012108265-9.50019-1 , 10.1016/b978-0-12-800116-5.00021-0

The basics of portfolio credit risk

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Abstract

The credit risk models we have examined thus far in this book have all focused on single default events, or on the likelihood that a given firm will default on its financial obligations within a given period of time. We shall now shift gears, so to speak, and take a quick tour of approaches and techniques that are useful for modeling credit risk in a portfolio setting. As we saw in Chapters 9, 10, and 14, two key concepts in the modeling of portfolio credit risk are default correlation and the loss distribution function. The basic model discussed in this chapter allows us to take a closer quantitative look at these concepts.

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