Learn essential concepts of credit risk measurement in this comprehensive FRM Part 1 video lecture covering Chapter 6 of Book 4. Master the distinctions between economic and regulatory capital, understand how to evaluate a bank's economic capital relative to credit risk, and explore key calculation factors including probability of default, exposure, and loss rate. Delve into expected and unexpected loss calculations, study the binomial distribution for credit loss estimation, and understand advanced models like the Gaussian copula and Vasicek model. Gain expertise in applying CreditMetrics for economic capital estimation, utilize Euler's theorem for portfolio risk contribution analysis, and examine the unique challenges of calculating credit risk capital for derivatives. Through detailed explanations and practical examples across ten distinct sections, develop a thorough understanding of credit risk quantification methods and their real-world applications in banking and financial risk management.
Overview
Syllabus
Introduction
Learning Objectives
Distinction between Economic Capital and Regulatory Capital
Unexpected Loss
Mean and Standard Deviation of Credit Losses
The Gaussian Copula Model
One-Factor Correlation Model
Credit Metrics Model
Euler's Theorem
Credit Risk Capital for Derivatives
Taught by
AnalystPrep
