Here we are, ready to start the second lecture of our Mooc.
The aim of this lecture is to better describe the basic characteristics of the three approaches we can use to assess and hedge credit risk under Basel II and III.
Do you remember them?
We will discuss the main features of the Standardized (STA), the Foundation Internal-Rating Based (F-IRB) and the Advanced Internal-Rating Based (A-IRB) approaches.
These approaches are characterized by an increasing level of complexity. In particular, for what concerns the two internal-rating based approaches (F-IRB and A-IRB), we will see that there are many possible tools and models that we can use. These will be the topics of lecture 4, 5 and 6.
In this lecture we also introduce the first R commands.
Did you download and install R on your computers?
This week the lecture contains: