Abstract: The credit markets have grown in both size and sophistication along with the technical skills that are required to assess the risk-reward characteristics of an ever-expanding array of new products and structures, such as multi-name credit derivatives. This chapter briefly discusses some of the better-known models developed and marketed by the firms, and compares them to the basic credit risk model. The chapter also focuses on four commercially available modeling approaches to the analysis of portfolio credit risk: Moody's Investors Service's Binomial Expansion Technique (BET), J.P. Morgan/RiskMetrics Group's Credit-Metrics model, Moody's KMV's KMV model, and Credit Suisse Financial Products' CreditRisk+ model. An important feature of Credit Metrics is that it is designed to examine the likelihood of ratings transitions. KMV also offers a related tool called Portfolio Manager for analyzing portfolio credit risk. The main output of Portfolio Manager is the loss distribution of the portfolio under consideration.
Publication Year: 2005
Publication Date: 2005-01-01
Language: en
Type: book-chapter
Indexed In: ['crossref']
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