Using credit rating migration and Merton to solve for equity
There are two big steps: 1. The firm expresses a risk attitude (orientation) and uses the credit rating migration/transition matrix to derive an implied target probability of default (PD); 2. The Merton model is used to infer a target equity cushion given the target PD
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: 09/08/08 20:37
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High Credit Risk Loans
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: 12/01/09 17:17
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Basel internal ratings-based (IRB) risk weight function
Basel's IRB determines a capital charge (K) = Credit Value at Risk (CVaR) @ 99.9% – Expected Loss (UL). This function is estimating an unexpected loss (UL).
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: 22/10/08 20:17
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UK Gov. credit worthiness problems, Channel4 News version (21May09)
This report is Channel 4 News' guide of the possible downgrading of the UK's credit worthiness from AAA rating. It describes the risks to the UK economy properly, not like the moron BBC report on the same story (also uploaded). Recorded from Channel 4 News, 21 May 2009
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: 22/05/09 09:26
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