6.4 Summary
Course week(s)
Week 6
Course subject(s)
Default Probabilities III
Once again, it is time to summarize the topics of this last lecture.
Can you tell how the CreditMetrics model works? Can you list at list two points of strength of this model? Can you compute thresholds, if I provide you with a transition matrix?
And how can we compute capital requirements, under the F-IRB approach, once we have all the information we need about the PD of a counterparty? And if we have a portfolio of obligors?
Finally, what is the basic idea behind Credit Risk Plus? Is it a structural model of default? Why can we consider CR+ an A-IRB model?
Summary Video Module 6
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Here the script, and here the slides.
the Sofa Session of this lecture is a rather special one. We will have our first interview with a practitioner.
Our guest is Martin van Buren, Quantitative Risk Analyst at Rabobank.
Together with him, we will discuss internal rating models, and how we can use them for estimating the PD of a counterparty.
You will finally see that the things we are studying together are used everyday in international banks and financial institutions. I am not making it all up! 🙂
In particular, in this interview, models “similar to Altman Z-score” seem to be rather used by international banks. And you already know how they work.
And naturally we will ask Mr. van Buren what it takes to be a good risk manager! Enjoy!
Interview Rabobank
Subtitles Sorry but there don't seem to be any downloads..
Subtitles (captions) in other languages than provided can be viewed at YouTube. Select your language in the CC-button of YouTube.
For interviews, there are no scripts.
Here below, you can find an additional video about the “future of risk models” and the use of “market sentiment”.
The video is not strictly related to the topics of this week, but I think it is a rather interesting video, and you now have the necessary knowledge to watch it in a proactive and critical way.
Introduction to Credit Risk Management by TU Delft OpenCourseWare is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Based on a work at https://ocw.tudelft.nl/courses/introduction-credit-risk-management/.