1.2 Credit Risk Measurement

1.2.1 Credit VaR

1.2.2 Key Parameter

1.2.2.1 PD

Historical-based Approach

• Binomial Trees of PD
• Credit Ratings
• Credit Scoring Models

Measuring Credit Risk from Market Prices

• Infer Credit Risk from Corporate Bond Prices
• Infer Credit Risk from Equity Prices

Default Intensity Models

• Default Intensity Models

1.2.2.2 LGD

Loss Given Default and Recovery Rate

1.2.2.3 EAD

Credit Exposure
Counterparty Risk

1.2.3 Portfolio Credit Risk