Credit

Related lectures (31)

Covers challenges in credit risk and pricing of credit derivatives.

Explores threshold exceedances and the Generalized Pareto Distribution for modeling extreme data points above a specified level.

Explores bank balance sheets, risks, and interest rate impact on performance metrics and risks faced by financial institutions.

Explores interest rates, term structures, bond valuation, and credit risk impact on bond prices.

Discusses bank regulation, focusing on capital and liquidity requirements, and the implications of recent financial crises on regulatory frameworks.

Discusses loan sales and securitization as strategies for managing financial risks in lending.

Covers loan sales, securitization, risks associated with loans, and the process of moving risks off-balance-sheet.

Explores high frequency trading, ethical dilemmas in finance, and the importance of structural reforms in the industry.

Explores the Peaks-Over-Threshold model assumptions, implications, and estimation methods, including fitting a GPD model to exceedances.

Covers the structure, risks, and historical context of US mortgage-backed securities, including agency and non-agency types.

Explores the impact of dependence among variables on credit risk modelling.

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