Credit risk
Default models, hazard rates, rating migration, counterparty risk and CVA, and credit portfolios.
6 planned
No page in this subject is open yet. The planned list below shows what is coming, in learning order.
Planned
In learning order. These are not pages yet.
- How hazard rates determine survival probabilitiesAdvanced undergrad
- How rating migration creates credit portfolio lossesAdvanced undergrad
- How correlation moves value between CDO tranchesGraduate
- How CVA prices counterparty credit exposureGraduate
- How the Merton model links equity and defaultAdvanced undergrad
- Why wrong-way risk makes exposure more dangerousGraduate
How it connects
Builds on Derivatives Corporate finance Probability Market risk Stochastic processes Bonds and interest rates Monte Carlo and numerical pricing
Leads to Derivatives
Subjects marked “connection” are linked by a related idea, not by a prerequisite.