CMOL Video 02- Credit Risk

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Description

Applies Basel II/III requirements on credit modelling (residential mortgages, revolving credit, wholesale corporate and sovereign debt, and miscellaneous credit), computes Regulatory Capital (RC), Risk-Weighted Assets (RWA), and Economic Capital (EC), given inputs such as historical default data to compute Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD).