Topic
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Sub-topic
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Overview of Credit Risk Measurement
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- What is Credit Risk
- When does Default Occur
- Impact of Credit Loss
- Need for Credit Risk Measurement
- Credit Risk Components
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Probability of Default (PD)
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- What is PD
- Static Pool Approach for Calculating PD
- Calculating One-year PD
- Marginal and Cumulative Default Probability
- Calculating Cumulative Default Probability
- Credit Rating Dimensions
- Rating Transition and Migration
- Analysis of Rating Transition Matrix
- Methods of Estimating PD
- Challenges in PD Estimation and Application
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Exposure at Default (EAD)
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- What is EAD
- Estimation of EAD for Loans
- Estimation of EAD for Revolving Credit
- Estimation of EAD for Off-balance Sheet Exposure
- Challenges in EAD Estimation
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Loss Given Default (LGD)
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- What is LGD
- Methods of Estimating LGD
- Calculating LGD Using Workout Method
- Downturn LGD Estimation
- Challenges in LGD Estimation
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Other Components of Credit Loss
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- Effective Maturity
- Correlation
- Credit Loss
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